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	Provedor de dados AgEcon (3) Autor Brorsen, B. Wade (1) Colino, Evelyn V. (1) Dahlgran, Roger A. (1) Garcia, Philip (1) Irwin, Scott H. (1) Lusk, Jayson L. (1) Norwood, F. Bailey (1) Mais... Palavra-chave Agribusiness (3) Out-of-sample (3) Agricultural Finance (2) Financial Economics (2) Marketing (2) Research Methods/ Statistical Methods (2) Demand and Price Analysis (1) Discrete dependent variables (1) Effectiveness (1) Farm Management (1) Forecast combination (1) Forecasting (1) Forecasts (1) Futures (1) Hedging (1) Likelihood functions (1) Livestock Production/Industries (1) Model selection (1) Outlook (1) Post sample (1) Mais... Tipo do documento Conference Paper or Presentation (2) Journal Article (1) Ano 2009 (2) 2004 (1) País United States (3) Idioma Inglês (3)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 3 Primeira ... 1 ... Última The Relative Performance of In-Sample and Out-of-Sample Hedging Effectiveness Indicators AgEcon Dahlgran, Roger A.. Hedging effectiveness is the proportion of price risk removed through hedging. Empirical hedging studies typically estimate a set of risk minimizing hedge ratios, estimate the hedging effectiveness statistic, apply the estimated hedge ratios to a second group of data, and examine the robustness of the hedging strategy by comparing the hedging effectiveness for this "out-of-sample" period to the "in-sample" period. This study focuses on the statistical properties of the in-sample and out-of-sample hedging effectiveness estimators. Through mathematical and simulation analysis we determine the following: (a) the R2 for the hedge ratio regression will generally overstate the amount of price risk reduction that can be achieved by hedging, (b) the properly... Tipo: Conference Paper or Presentation Palavras-chave: Out-of-sample; Post sample; Hedging; Effectiveness; Forecasts; Simulation; Agribusiness; Agricultural Finance; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty. Ano: 2009 URL: http://purl.umn.edu/53042 Model Selection for Discrete Dependent Variables: Better Statistics for Better Steaks AgEcon Norwood, F. Bailey; Lusk, Jayson L.; Brorsen, B. Wade. Little research has been conducted on evaluating out-of sample forecasts of discrete dependent variables. This study describes the large and small sample properties of two forecast evaluation techniques for discrete dependent variables: receiver-operator curves and out-of-sample log-likelihood functions. The methods are shown to provide identical model rankings in large samples and similar rankings in small samples. The likelihood function method is better at detecting forecast accuracy in small samples. By improving forecasts of fed cattle quality grades, the forecast evaluation methods are shown to increase cattle marketing revenues by $2.59/head. Tipo: Journal Article Palavras-chave: Discrete dependent variables; Forecasting; Likelihood functions; Model selection; Out-of-sample; Quality grades; Receiver-operator curves; Agribusiness. Ano: 2004 URL: http://purl.umn.edu/30912 Do Composite Procedures Really Improve the Accuracy of Outlook Forecasts? AgEcon Colino, Evelyn V.; Irwin, Scott H.; Garcia, Philip. This paper investigates whether the accuracy of outlook hog price forecasts can be improved using composite forecasts in an out-of-sample context. Price forecasts from four wellrecognized outlook programs are combined with futures-based forecasts, ARIMA, and unrestricted Vector Autoregressive (VAR) models. Quarterly data are available from 1975.I through 2007.IV, which allow for a relatively long out-of-sample evaluation period after permitting model specification and appropriate composite-weight training periods. Results show that futures and numerous composite procedures outperform outlook forecasts. At intermediate horizons, OLS composite procedures perform rather well. The superiority of futures and composite forecasts decreases at longer horizons... Tipo: Conference Paper or Presentation Palavras-chave: Forecast combination; Outlook; Futures; Time-series; Out-of-sample; Agribusiness; Agricultural Finance; Financial Economics; Livestock Production/Industries; Marketing; Research Methods/ Statistical Methods. Ano: 2009 URL: http://purl.umn.edu/53052 Registros recuperados: 3 Primeira ... 1 ... Última

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