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Quarterly Forecasting of Meat Retail Prices: A Vector Autoregression Approach

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  • Elitzak, Howard
  • Blisard, W. Noel

Abstract

6ector autore ression models are used to forecast five meat and fish Consumer Price Indexes.J A price markup model is employed as the underlying model specification. Two different approaches are used to estimate the models. The ability of each model to produce reliable forecasts was tested by means of three forecast simulations. Theil's U2 coefficient, root mean square errors, and turning point accuracy are used to evaluate the forecasting results. The analysis suggests that the estimated equations are useful for forecasts made one quarter into the future.

Suggested Citation

  • Elitzak, Howard & Blisard, W. Noel, 1989. "Quarterly Forecasting of Meat Retail Prices: A Vector Autoregression Approach," Staff Reports 278232, United States Department of Agriculture, Economic Research Service.
    • Handle: RePEc:ags:uerssr:278232
    DOI: 10.22004/ag.econ.278232
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    References listed on IDEAS

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    1. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    2. Michael S. Kaylen, 1988. "Vector Autoregression Forecasting Models: Recent Developments Applied to the U.S. Hog Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 70(3), pages 701-712.
    3. Fackler, James S & Krieger, Sandra C, 1986. "An Application of Vector Time Series Techniques to Macroeconomic Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 71-80, January.
    4. Hsiao, Cheng, 1981. "Autoregressive modelling and money-income causality detection," Journal of Monetary Economics, Elsevier, vol. 7(1), pages 85-106.
    5. Harp, Harry H., 1980. "The Food Marketing Cost Index: A New Measure for Analyzing Food Price Changes," Technical Bulletins 157677, United States Department of Agriculture, Economic Research Service.
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