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| 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 |
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| 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 |
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| 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 |
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| 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 |
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| 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 |
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| 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 |
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