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| Herrera Hernandez, Jorge. |
| In this document I apply a recently developed econometric technique to prove the existence of common movements between time series. Said methodology is used to test and measure the existence of common cycles between the economies of Mexico and the United States for the 1993-2001 period. It is found that both economies share a common trend and a common cycle. Also, given the existence of one common cycle between these economies, it is found that transitory shocks affecting Mexico’s GDP are more important than when a conventional trend-cycle decomposition methodology is applied. Finally, it is shown that there are efficiency gains in forecasting by considering the common cycle restriction in a bivariate vector error correction model that includes the Mexican... |
| Tipo: Journal Article |
Palavras-chave: Time series models; U.S. GDP; Mexican GDP; C32; O51; O54. |
| Ano: 2004 |
URL: http://purl.umn.edu/43550 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| A battery of time series methods are compared for forecasting basis levels in the soybean futures complex: soybeans, soybean meal, and soybean oil. Specifically, nearby basis forecasts are generated with exponential smoothing techniques, autoregression moving average (ARMA), and vector autoregression (VAR) models. The forecasts are compared to those of the 5-year average, year ago, and no change methods. Using the 5-year average as the benchmark method, the forecast evaluation results suggest that alternative naive techniques may produce better forecasts, and the improvement gained by time series modeling is relatively small. In this sample, there is little evidence that the basis has become systematically more difficult to forecast in recent years. |
| Tipo: Journal Article |
Palavras-chave: Basis forecasts; Time series models; Soybean complex; Risk and Uncertainty; C53; Q13. |
| Ano: 2006 |
URL: http://purl.umn.edu/43790 |
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| Herrera Hernandez, Jorge. |
| In this document I apply a recently developed econometric technique to prove the existence of common movements between time series. Said methodology is used to test and measure the existence of common cycles between the economies of Mexico and the United States for the 1993-2001 period. It is found that both economies share a common trend and a common cycle. Also, given the existence of one common cycle between these economies, it is found that transitory shocks affecting Mexico’s GDP are more important than when a conventional trend-cycle decomposition methodology is applied. Finally, it is shown that there are efficiency gains in forecasting by considering the common cycle restriction in a bivariate vector error correction model that includes the Mexican... |
| Tipo: Journal Article |
Palavras-chave: Time series models; U.S. GDP; Mexican GDP; C32; O51; O54. |
| Ano: 2004 |
URL: http://purl.umn.edu/43546 |
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