Consulta: subjectFacets:"Forecast evaluation"
Registros recuperados: 9
Data/hora: 10/06/2024 02:33:38

ECONOMIC CRITERIA FOR EVALUATING COMMODITY PRICE FORECASTS
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Dorfman,   Jeffrey H.; McIntosh,   Christopher S.
Forecasts of economic time series are often evaluated according to their accuracy as measured by either quantitative precision or qualitative reliability.  We argue that consumers purchase forecasts for the potential utility gains from utilizing them, not for their accuracy.  Using Monte Carlo techniques to incorporate the temporal heteroskedasticity inherent in asset returns, the expected utility of a set of qualitative forecasts is simulated for corn and soybean futures prices.  Monetary values for forecasts of various reliability levels are derived.  The method goes beyond statistical forecast evaluation, allowing individuals to incorporate their own utility function and trading system into valuing a set of asset price forecasts.
Tipo: Journal Article
Palavras-chave: Commodity prices; Forecast evaluation; Value of information; Consumer/Household Economics.
Ano: 1997
URL: http://purl.umn.edu/15060

USDA Livestock Price Forecasts: A Comprehensive Evaluation
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Sanders,   Dwight R.; Manfredo,   Mark R.
One-step-ahead forecasts of quarterly live cattle, live hog, and broiler prices are evaluated under two general approaches: accuracy-based measures and classification based measures which test the ability to categorize price movements directionally or within a forecasted range. Results suggest U.S. Department of Agriculture (USDA) price forecasts are not optimal. Broiler price forecasts are biased, and all the forecast series tend to repeat errors. While the USDA forecasts are more accurate than those of a univariate AR(4) time-series model, evidence suggests the USDA live cattle forecasts could be improved with a composite forecast that includes a time-series alternative. Despite this, the USDA correctly identifies the direction of price change in at...
Tipo: Journal Article
Palavras-chave: Forecast efficiency; Forecast evaluation; Livestock prices; USDA forecasts; Livestock Production/Industries.
Ano: 2003
URL: http://purl.umn.edu/31101

Quarterly Earnings Estimates for Publicly Traded Agribusinesses: An Evaluation
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Manfredo,   Mark R.; Sanders,   Dwight R.; Scott,   Winifred.
Decisions made by publicly traded agribusinesses impact suppliers, processors, farmers, and even rural communities. Professional analysts’ estimates of earnings per share (EPS) provide a unique source of information regarding firm-level financial performance. Incorporating a battery of tests, this research examines the forecast properties of consensus analysts’ EPS estimates reported in the Institutional Brokers Estimate System for a sample of publicly traded food companies. While the results are mixed among firms, they suggest 1) analysts forecasts are largely unbiased but inefficient, and may not encompass information in simple time series models, and 2) EPS may be becoming more difficult to estimate.
Tipo: Conference Paper or Presentation
Palavras-chave: Earnings per share; Forecasting; Forecast evaluation; Agribusiness; Agricultural Finance; Financial Economics.
Ano: 2008
URL: http://purl.umn.edu/42436

Information Content in Deferred Futures Prices: Live Cattle and Hogs
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Sanders,   Dwight R.; Garcia,   Philip; Manfredo,   Mark R.
The marginal forecast information contained in deferred futures prices is evaluated using the direct test of Vuchelen and Gutierrez. In particular, the informational role of deferred futures contracts in live cattle and hogs is assessed from the two- to twelve-month horizons. The results indicate that unique information is contained in live cattle futures prices out through the ten-month horizon, while hog futures prices add incremental information at all tested horizons. Practitioners using futures-based forecasting methods are well-served by deferred hog futures prices; however, live cattle futures listed beyond the 10 month horizon are not adding incremental information.
Tipo: Conference Paper or Presentation
Palavras-chave: Forecast information; Forecast evaluation; Livestock futures.
Ano: 2007
URL: http://purl.umn.edu/37562

Rationality of U.S. Department of Agriculture Livestock Price Forecasts: A Unified Approach
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Sanders,   Dwight R.; Manfredo,   Mark R.
This research presents a systematic and unified approach to evaluating forecast rationality that considers the potential of nonstationarity in forecasts and realized values. The approach is applied to one-quarter ahead U.S. Department of Agriculture livestock price forecasts from 1982 through 2004. Results show that forecasts and realized prices are integrated of the same order, and those that are nonstationary are cointegrated. However, the stationary price forecasts for hogs, turkeys, eggs, and milk are biased and improperly scaled, and forecast errors tend to be repeated. Similarly, nonstationary forecasts for cattle and broilers are also biased and irrational in the long run, but short-run dynamics are rational.
Tipo: Journal Article
Palavras-chave: Forecast evaluation; Livestock prices; Rationality; Livestock Production/Industries; C53; Q13.
Ano: 2007
URL: http://purl.umn.edu/6658

A Comprehensive Evaluation of USDA Cotton Forecasts
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Isengildina-Massa,   Olga; MacDonald,   Stephen; Xie,   Ran.
This study evaluates all USDA cotton supply and demand estimates for the United States and China (including unpublished price forecasts) from 1985/86 through 2009/10 for accuracy and efficiency. Results reveal that at every stage of the forecasting cycle forecast smoothing was the most widespread and persistent type of inefficiency observed in most U.S. variables. Correlation with past errors indicated the tendency to repeat past errors in most cases. Tendency to overestimate growth was also found. Bias was uncommon and limited to several cases of overestimation of China’s exports and U.S. price and underestimation of China’s domestic use. While forecasts of China’s imports and endings stocks improved, U.S. price and ending stock forecast errors became...
Tipo: Article
Palavras-chave: Cotton; Forecast accuracy; Forecast efficiency; Forecast evaluation; Forecast smoothing; USDA forecasts; Agricultural Finance; Crop Production/Industries.
Ano: 2012
URL: http://purl.umn.edu/122314

What Can we Learn from our Mistakes?  Evaluating the Benefits of Correcting Inefficiencies  in USDA Cotton Forecasts.
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Isengildina-Massa,   Olga; Tysinger,   David; Gerard,   Patrick; MacDonald,   Stephen.
This study investigated the magnitude of forecast improvements resulting from correction of inefficiencies in USDA cotton forecasts over 1999/00 to 2008/09 marketing years. The aspects of forecast performance included in this study were 1) bias and trends in bias, 2) correlation between forecast error and forecast level, 3) autocorrelation in forecast errors, 4) correlation in forecast revisions.  Overall the results of this study demonstrated that some corrections of forecast inefficiencies, such as correction of correlation of error with forecast levels and correlation of error with previous year’s error resulted in consistent improvement of USDA cotton forecasts, while correction for correlation in forecast revisions did not benefit the forecasts....
Tipo: Conference Paper or Presentation
Palavras-chave: Commodity; Forecast evaluation; Fixed-event forecasts; Government forecasting; Forecast improvement; Agribusiness; Demand and Price Analysis; E37; E3; Q13.
Ano: 2011
URL: http://purl.umn.edu/98811

KEEP UP THE GOOD WORK?  AN EVALUATION OF THE USDA'S LIVESTOCK PRICE FORECASTS
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Sanders,   Dwight R.; Manfredo,   Mark R.
One step-ahead forecasts of quarterly live cattle, live hog, and broiler prices are evaluated under two general approaches: accuracy-based measures and the ability to categorize price movements directionally or within a forecasted range. Results suggest USDA price forecasts are not optimal. Broiler price forecasts are biased, and all the forecast series tend to repeat errors.  While the USDA forecasts are more accurate that those of a univariate AR(4) time series model, the evidence suggests that live cattle forecasts could be improved with a composite forecast. However, the USDA correctly identifies the direction of price change in at least 70% of its forecasts. Prices fall within the USDA's forecasted range 48% of the time for broilers but only 35% for...
Tipo: Conference Paper or Presentation
Palavras-chave: Forecast evaluation; Forecast efficiency; USDA forecasts; Demand and Price Analysis.
Ano: 2003
URL: http://purl.umn.edu/18990

Information Content in Deferred Futures Prices: Live Cattle and Hogs
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Sanders,   Dwight R.; Garcia,   Philip; Manfredo,   Mark R.
The informational content in live cattle and hog deferred futures prices is assessed using a direct test of incremental forecast ability for two- to twelve-month horizons. For 1976-2007, the results indicate that hog futures prices add incremental information at all horizons, but unique information in live cattle prices declines quickly beyond the eight-month horizon with no incremental information at the twelve-month horizon. The contrast in performance is likely attributable to differences in the quality of public information and the nature of the production process.
Tipo: Journal Article
Palavras-chave: Forecast evaluation; Forecast information; Futures markets; Demand and Price Analysis; Risk and Uncertainty.
Ano: 2008
URL: http://purl.umn.edu/36709