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Smoothing in USDA’s Commodity Forecasts

Author

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  • Isengildina, Olga
  • MacDonald, Stephen
  • Xie, Ran
  • Sharp, Julia

Abstract

This study investigates the rationality of monthly revisions in annual forecasts of supply, demand, and price for U.S. corn, cotton, soybeans, and wheat, published in the World Agricultural Supply and Demand Estimates over 1984/85 through 2011/12. The findings indicate that USDA’s forecast revisions are not independent across months, and that forecasts are typically smoothed. Adjustment for smoothing in a subset of forecasts (2002/03 – 2011/12) showed weak results: marginal improvements in accuracy were limited to wheat production and cotton production and domestic use while deterioration in accuracy was observed in all other cases. Smoothing coefficients were highly unstable over time. Case studies for corn focused on correction for a structural break and the impact of forecast size and direction, but did not lead to improvements in accuracy. Case studies for October revisions of soybean production forecasts suggest that ten year rolling estimation and correcting for outliers using leverage may help improve accuracy in the adjusted forecasts.

Suggested Citation

  • Isengildina, Olga & MacDonald, Stephen & Xie, Ran & Sharp, Julia, 2013. "Smoothing in USDA’s Commodity Forecasts," 2013 Conference, April 22-23, 2013, St. Louis, Missouri 285801, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:n13413:285801
    DOI: 10.22004/ag.econ.285801
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    References listed on IDEAS

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    1. Bailey, DeeVon & Brorsen, B. Wade, 1998. "Trends In The Accuracy Of Usda Production Forecasts For Beef And Pork," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(2), pages 1-11, December.
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    3. Olga Isengildina & Scott H. Irwin & Darrel L. Good, 2006. "Are Revisions to USDA Crop Production Forecasts Smoothed?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(4), pages 1091-1104.
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    7. Sanders, Dwight R. & Manfredo, Mark R., 2003. "USDA Livestock Price Forecasts: A Comprehensive Evaluation," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(2), pages 1-19, August.
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