Data/hora: 04/06/2024 06:37:09

Provedor de dados: | 31
País: | United States
Título: | Alternative Model Selection Using Forecast Error Variance Decompositions in Wholesale Chicken Markets
Autores: | McKenzie,   Andrew M.; Goodwin,   Harold L., Jr.; Carreira,   Rita I.
Data: | 2009-04-02
Ano: | 2009
Palavras-chave: | Broiler markets; DAGs; Forecasting; Market structure; VAR; Agribusiness; Demand and Price Analysis; Livestock Production/Industries; Risk and Uncertainty; C53; D4; L1; Q00.
Resumo: | Although Vector Autoregressive models are commonly used to forecast prices, specification of these models remains an issue. Questions that arise include choice of variables and lag length. This article examines the use of Forecast Error Variance Decompositions to guide the econometrician’s model specification. Forecasting performance of Variance Autoregressive models, generated from Forecast Error Variance Decompositions, is analyzed within wholesale chicken markets. Results show that the Forecast Error Variance Decomposition approach has the potential to provide superior model selections to traditional Granger Causality tests.
Tipo: | Journal Article
Idioma: | Inglês
Identificador: | http://purl.umn.edu/48750
Relação: | Journal of Agricultural and Applied Economics&gt;Volume 41, Number 01, April 2009
Formato: | 14