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Forecasting Price Relationships among U.S Tree Nuts Prices

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  • Ibrahim, Mohammed
  • Florkowski, Wojciech J.

Abstract

This paper investigates a vector auto regression model, using the Johansen cointegration technique, and the autoregressive integrated moving average time series models to determine the better model for forecasting US tree nut prices over the period 1992-2006. The Johansen contegration test shows lack of long run relationship among pecan, walnut, and almond prices. As such, only autoregressive integrated moving average-type models were used in forecasting U.S. nut prices.

Suggested Citation

  • Ibrahim, Mohammed & Florkowski, Wojciech J., "undated". "Forecasting Price Relationships among U.S Tree Nuts Prices," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 47212, Southern Agricultural Economics Association.
    • Handle: RePEc:ags:saeana:47212
    DOI: 10.22004/ag.econ.47212
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    References listed on IDEAS

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    1. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
    2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    3. Lanza, Alessandro & Manera, Matteo & Giovannini, Massimo, 2005. "Modeling and forecasting cointegrated relationships among heavy oil and product prices," Energy Economics, Elsevier, vol. 27(6), pages 831-848, November.
    4. MacDonald, Ronald & Taylor, Mark P., 1994. "The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 276-290, June.
    5. Florkowski, Wojciech J. & Lai, Yue, 1997. "Cointegration Between Prices of Pecans and Other Edible Nuts: Forecasting and Implications," 1997 Annual Meeting, July 13-16, 1997, Reno\ Sparks, Nevada 35870, Western Agricultural Economics Association.
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    Cited by:

    1. Cheng, Guo & Dharmasena, Senarath & Capps, Oral, Jr., "undated". "The Taste for Variety: Demand Analysis for Nut Products in the United States," Reports 285248, Texas A&M University, Agribusiness, Food, and Consumer Economics Research Center.
    2. Grigoryan, Sona & Lopez, Jose, "undated". "An Empirical Analysis of the U.S. Import Demand for Nuts," 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida 266538, Southern Agricultural Economics Association.

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