SABIIA - Sistema Aberto e Integrado de Informação em Agricultura (Sabiia)

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

Forecasting Basis Levels in the Soybean Complex: A Comparison of Time Series Methods

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

House Price Prediction: Hedonic Price Model vs. Artificial Neural Network

Limsombunchai, Visit.

The objective of this paper is to empirically compare the predictive power of the hedonic model with an artificial neural network model on house price prediction. A sample of 200 houses in Christchurch, New Zealand is randomly selected from the Harcourt website. Factors including house size, house age, house type, number of bedrooms, number of bathrooms, number of garages, amenities around the house and geographical location are considered. Empirical results support the potential of artificial neural network on house price prediction, although previous studies have commented on its black box nature and achieved different conclusions.

“Google it!” Forecasting the US Unemployment Rate with a Google Job Search index

Palavras-chave: Hedonic Model; Artificial Neural Network (ANN); House Price.; Environmental Economics and Policy; Land Economics/Use; Research Methods/ Statistical Methods; C53; L74.

Ano: 2004

URL: http://purl.umn.edu/97781

D’Amuri, Francesco; Marcucci, Juri.

We suggest the use of an Internet job-search indicator (the Google Index, GI) as the best leading indicator to predict the US unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that adopt both our preferred leading indicator (GI), the more standard initial claims or combinations of both. We find that models augmented with the GI outperform the traditional ones in predicting the monthly unemployment rate, even in most state-level forecasts and in comparison with the Survey of Professional Forecasters.

Spurious Long Memory in Commodity Futures: Implications for Agribusiness Option Pricing

Palavras-chave: Google Econometrics; Forecast Comparison; Keyword search; US Unemployment; Time Series Models; Labor and Human Capital; C22; C53; E27; E37; J60; J64.

Ano: 2010

URL: http://purl.umn.edu/60680

Power, Gabriel J.; Turvey, Calum G..

Long memory, and more precisely fractionally integration, has been put forward as an explanation for the persistence of shocks in a number of economic time series data as well as to reconcile misleading findings of unit roots in data that should be stationary. Recent evidence suggests that long memory characterizes not commodity futures prices but rather price volatility (generally defined as $L_p$ norms of price logreturns). One implication of long memory in volatility is the mispricing of options written on commodity futures, the consequence of which is that fractional Brownian motion should replace geometric Brownian motion as the building block for option pricing solutions. This paper asks whether findings of long memory in volatility might be spurious...

Predicting Pork Supplies: An Application of Multiple Forecast Encompassing

Palavras-chave: Q13; Q14; Marketing; C52; C53; G12; G13.

Ano: 2007

URL: http://purl.umn.edu/9782

Sanders, Dwight R.; Manfredo, Mark R..

Conditional efficiency or forecast encompassing is tested among alternative pork production forecasts using the method proposed by Harvey and Newbold. One-, two-, and three-quarter ahead pork production forecasts made by the United States Department of Agriculture (USDA), the University of Illinois and Purdue University Cooperative Extension Service, and those produced by a univariate time series model are evaluated. The encompassing tests provide considerably more information about forecast performance than a simple pair-wise test for equality of mean squared errors. The results suggest that at a one-quarter horizon, the Extension service forecasts encompass the competitors, but at longer horizon, a composite forecast may provide greater accuracy.

Tipo: Journal Article

Palavras-chave: Composite forecasts; Forecast encompassing; Pork production; C53; Q13.

Ano: 2004

URL: http://purl.umn.edu/43451

World Soybean Demand: An Elasticity Analysis and Long-Term Projections

Masuda, Tadayoshi; Goldsmith, Peter D..

Soybeans are one of the most valuable crops in the world and are characterized by their multi-purpose uses: food, feed, fuel and other industrial usages such as paint, inks, and plastics. Out of 183.9 million tons of world supply/demand of soybeans in 2001-03 year, about 10% of them were directly consumed as food (5.9%) or feed (3.8%) but 84.2% of them were crushed into soyoil and soymeal. Soyoil is mainly processed to vegetable oil for human consumption and recently used as a biodiesel feedstock. Soymeal is used not only as feed for livestock (especially for pork and poultry due to its low fiber level) and aquaculture, but also as a good source of protein for the human diet in a variety of forms in different cultures. This paper analyzes the...

Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany

Palavras-chave: Soybean demand; Elasticity; Error correction mechanism (ECM); Projection; Agribusiness; Crop Production/Industries; Demand and Price Analysis; Marketing; C22; C53; Q11.

Ano: 2009

URL: http://purl.umn.edu/49490

Antzoulatos, Angelos A.; Wilfling, Bernd.

Recent theoretical advances in consumption theory suggest that there may exist predictable consumption surges which, if not taken sufficiently into account in forecasting, may lead to predictable forecast errors. We use this insight to identify economic variables that might help improve the OECD's forecasts for Germany's consumption and GDP growth.

PREVISÃO DOS PREÇOS DO AÇÚCAR E ANÁLISE DA SUA VOLATILIDADE NO MERCADO FUTURO BRASILEIRO (2003 A 2007): UMA APLICAÇÃO DE MODELOS DA FAMÍLIA ARCH

Palavras-chave: Consumption; GDP; Macroeconomic forecasts; Non-linear dynamics.; Consumer/Household Economics; C53; E21; E37.

Ano: 2003

URL: http://purl.umn.edu/26169

Nicola, Danieli Scalcon; Freitas, Clailton Ataides; Paz, Marlon Vidal.

Este trabalho objetiva mensurar a volatilidade dos preços futuros do açúcar negociados na BM&F, bem como verificar quais entre os modelos univariados propostos apresenta melhor desempenho preditivo para o preço da commodity em questão. Para tanto se utilizam modelos de análise de volatilidade do tipo ARCH e modelos univariados de previsão aplicados a séries temporais, entre os quais os modelos ARIMA e SARIMA. Os resultados empíricos sugerem não haver presença de assimetria entre choques positivos e negativos e indicam a persistência na volatilidade dos preços do açúcar, implicando que os choques de volatilidade se dissiparão lentamente ao longo do tempo, podendo gerar perdas econômicas. Quanto aos modelos de previsão, o modelo ARIMA apresentou os...

El Paso Housing Sector Econometric Forecast Accuracy

Palavras-chave: Preços do açúcar; Modelos de previsão e volatilidade; Sugar prices; Prevision and volatility models; Crop Production/Industries; Demand and Price Analysis; Q11; C01; C22; C53.

Ano: 2008

URL: http://purl.umn.edu/108829

Fullerton, Thomas M., Jr.; Kelley, Brian W..

There is comparatively little empirical evidence regarding the accuracy of regional housing sector forecasts. Much of the recent analysis conducted for this topic is developed for housing starts and indicates a relatively poor track record. This study examines residential real estate forecasts previously published for El Paso, TX using a structural econometric model. Model coverage is much broader than just starts. Similar to earlier studies, the previously published econometric predictions frequently do not fare very well against the selected random walk benchmarks utilized for the various series under consideration.

Tipo: Journal Article

Palavras-chave: Applied econometrics; Metropolitan housing sector forecasts; Agribusiness; Community/Rural/Urban Development; Political Economy; C53; R15; R31.

Ano: 2008

URL: http://purl.umn.edu/45534

On- and Off-Farm Labour Supply of Dutch Dairy Farmers: Estimation and Policy Simulations

Ooms, Daan L.; Hall, Alastair R..

This research focuses on the effect of decoupled payments on labour supply of Dutch dairy farmers. Data availability leads to the fact that we can not estimate structural labour supply equations. We show how to derive reduced form equations suitable for policy simulations. We use the panel data sample selection estimation approach Wooldridge (1995) to estimate the off-farm labour supply equation. This method is based on Mundlak's (1978) linear panel data estimation approach, which we use to estimate the on-farm labour supply equations. Even though, simulations show a significant negative effect of decoupled payments on labour supply, the economic significance of this effect is very limited.

Modeling Advertising Expenditures and Spillover Effects Applied to the U.S. Non-Alcoholic Beverage Industry: Vector Autoregression (VAR) and Polynomial Distributed Lag (PDL) Approaches

Palavras-chave: Decoupled payments; Labour supply; Panel data; Sample selection; Policy simulation; Labor and Human Capital; Livestock Production/Industries; C23; C24; C51; C53; D13; J22; Q12; Q18.

Ano: 2005

URL: http://purl.umn.edu/24506

Dharmasena, Senarath; Capps, Oral, Jr.; Bessler, David A..

The non-alcoholic beverage market in the U.S. is a multi-billion dollar industry growing steadily over the past decade. Also, non-alcoholic beverages are among the most heavily advertised food and beverage groups in the United States. Several studies pertaining to non-alcoholic beverages including the incorporation of advertising effects have been conducted, but most of these have centered attention on milk consumption. Some studies have considered demand interrelationships for several beverages including advertising effects in systems-wide analyses. In our analysis, we develop and employ a unique monthly time-series data set derived from Nielsen Homsescan panels for household purchases of non-alcoholic beverages over the period from January 1998 through...

Tipo: Presentation

Palavras-chave: Non-alcoholic beverages; Vector autoregression; Polynomial distributed lags; Beverage advertizing; Directed acyclic graphs; Agricultural and Food Policy; Consumer/Household Economics; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Marketing; C18; C22; C52; C53; C81; D11; D12.

Ano: 2012

URL: http://purl.umn.edu/124363

Plagiarism Without Apology--Systematic Integration of Available Information in a Long Run Agricultural Outlook

Witzke, Heinz Peter; Britz, Wolfgang.

In the context of a long run agricultural outlook on behalf of the European Environmental Agency a new methodology has been developed to systematically integrate external forecasts into a quite detailed agricultural sector model. External forecasts usually provide estimates for the exogenous variables in modelling work and frequently they are also used for comparisons and potential reassessment of empirical specifications. The innovative characteristic of this study is that expert forecasts have been used to specify parameter changes expressing structural change affecting behavioural functions. The outlook was therefore set up as a simultaneous estimation and forecasting effort which permitted to integrate various, usually contradictory expert forecasts...

Oil Price Forecast Evaluation with Flexible Loss Functions

Palavras-chave: Agricultural outlook; Forecasting; Modelling; Expert information; Agricultural and Food Policy; C15; C53; Q11; Q19; Q21.

Ano: 2005

URL: http://purl.umn.edu/24666

Bastianin, Andrea; Manera, Matteo; Markandya, Anil; Scarpa, Elisa.

The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several alternative econometric specifications proposed in the literature to capture the dynamics of oil prices. Second, we analyse the effects of different data frequencies on the coefficient estimates and forecasts obtained using each selected econometric specification. Third, we compare different models at different data frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static forecasts, as well as...

Tipo: Working Paper

Palavras-chave: Oil Price; WTI Spot and Futures Prices; Forecasting; Econometric Models; Research and Development/Tech Change/Emerging Technologies; C52; C53; Q32; Q43.

Ano: 2011

URL: http://purl.umn.edu/120042

Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector

Bastianin, Andrea.

In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the marginals? (ii) are there nonnormalities in the dependence structure? (iii) is it worth modelling these nonnormalities in risk- management applications? (iv) do complicated models perform better than simple models? As for questions (i) and (ii) I have shown that the data do deviate from the null of normality at the univariate, as well as at the multivariate level. When considering the dependence structure of the data I have found that asymmetries show up in their...

Forecasting the Path of China's CO2 Emissions: Offsetting Kyoto - and Then Some

Palavras-chave: Copula functions; Forecasting; Value-At-Risk; Risk and Uncertainty; C32; C52; C53; G17; Q43.

Ano: 2009

URL: http://purl.umn.edu/50452

Auffhammer, Maximilian; Carson, Richard T..

Our results suggest that the anticipated path of China's Carbon Dioxide (CO2) emissions has dramatically increased over the last five years. The magnitude of the projected increase in Chinese emissions out to 2015 is several times larger than reductions embodied in the Kyoto Protocol. Our estimates are based on a unique provincial level panel data set from the Chinese Environmental Protection Agency. This dataset contains considerably more information relevant to the path of likely Chinese greenhouse gas emissions than national level time series models currently in use. Model selection criteria clearly reject the popular static environmental Kuznets curve specification in favor of a class of dynamic models with spatial dependence.

The Rationality of EIA Forecasts under Symmetric and Asymmetric Loss

Palavras-chave: Forecasting; Climate Change; China; Model Selection; Environmental Economics and Policy; Q43; C53.

Ano: 2006

URL: http://purl.umn.edu/7197

Auffhammer, Maximilian.

The United States Energy Information Administration publishes annual forecasts of nationally aggregated energy consumption, production, prices, intensity and GDP. These government issued forecasts often serve as reference cases in the calibration of simulation and econometric models, which climate and energy policy are based on. This study tests for rationality of published EIA forecasts under symmetric and asymmetric loss. We find strong empirical evidence of asymmetric loss for oil, coal and gas prices as well as natural gas consumption, GDP and energy intensity.

Determinants of Land-Use Change In the United States 1982-1997

Palavras-chave: Forecasting; Asymmetric loss; Energy intensity; Energy Information Administration; Resource /Energy Economics and Policy; Q43; C53.

Ano: 2005

URL: http://purl.umn.edu/25017

Lubowski, Ruben N.; Plantinga, Andrew J.; Stavins, Robert N..

Changes in the use of land in the United States produce significant economic and environmental effects with important implications for a wide variety of policy issues, including protection of wildlife habitat, management of urban growth, and mitigation of global climate change. In contrast to previous descriptive and qualitative analyses of the trends in national land use, this paper uses an econometric approach to isolate the importance of historical changes in land-use profits and key government policies in determining national land-use changes from 1982 to 1997. The policies we examine are the Conservation Reserve Program (CRP) and total government payments to crop producers. We estimate a national-level discrete choice model of changes among the major...

Discounting the Distant Future: How Much Do Uncertain Rates Increase Valuations?

Palavras-chave: Land use; Econometric model; Counterfactual simulation; Conservation Reserve Program (CRP); Land Economics/Use; C53; Q1; Q24; R14; R15.

Ano: 2003

URL: http://purl.umn.edu/10714

Newell, Richard G.; Pizer, William A..

Costs and benefits in the distant future-such as those associated with global warming, long-lived infrastructure, hazardous and radioactive waste, and biodiversity-often have little value today when measured with conventional discount rates. We demonstrate that when the future path of this conventional rate is uncertain and persistent (i.e., highly correlated over time), the distant future should be discounted at lower rates than suggested by the current rate. We then use two centuries of data on U.S. interest rates to quantify this effect. Using both random walk and mean-reverting models, we compute the certainty-equivalent rate that is, the single discount rate that summarizes the effect of uncertainty and measures the appropriate forward rate of...

Adapting agriculture to climate change

Palavras-chave: Discounting; Uncertainty; Interest rate forecasting; Climate policy; Intergenerational equity; Risk and Uncertainty; D90; E47; C53; H43; Q28.

Ano: 2001

URL: http://purl.umn.edu/10743