| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
Optimal Length of Moving Average to Forecast Futures Basis
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| Autores: |
Hatchett, Robert B.
Brorsen, B. Wade
Anderson, Kim B.
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| Data: |
2009-08-25
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| Ano: |
2009
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| Palavras-chave: |
Basis forecast
Grain
Law of One Price
Moving averages
Structural change
Agribusiness
Agricultural and Food Policy
Agricultural Finance
Crop Production/Industries
Farm Management
Financial Economics
Marketing
Research Methods/ Statistical Methods
Risk and Uncertainty
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| Resumo: |
Futures prices when combined with a basis forecast provide a reliable way to forecast cash prices. The most popular method of forecasting basis is historical moving averages. Given the recent failure of longer moving averages proposed by previous studies, this research reassesses past recommendations about the best length of moving average to use in forecasting basis. This research compares practical preharvest and storage period basis forecasts for hard wheat, soft wheat, corn and soybeans to identify the optimal amount of historical information to include in moving average forecasts. Only with preharvest hard wheat forecasts are the best moving averages longer than 3 years. The differences in forecast accuracy among the different moving averages are small and in most cases the differences are not statistically significant. The recommendation is to use longer moving averages during time periods (or at locations) when there have been no structural changes and use last year’s basis after it appears that a structural change has occurred.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
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| Identificador: |
http://purl.umn.edu/53048
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| Relação: |
NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2009 Conference, April 20-21, 2009, St. Louis, Missouri
NCCC- 134
14
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| Formato: |
24
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