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Prequential Analysis of Cattle Prices

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  • David A. Bessler
  • John L. Kling

Abstract

The paper considers the prequential analysis of cash and futures cattle prices. Both univariate and bivariate models are studied. Mean‐squared error and probability calibration metrics are used to judge the adequacy of the models. Results suggest that the multivariate model provides more information than the univariate model on the predictive distribution of cash prices, while the multivariate model on futures prices does not offer any additional information than that contained in the univariate model of futures prices.

Suggested Citation

  • David A. Bessler & John L. Kling, 1990. "Prequential Analysis of Cattle Prices," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 39(1), pages 95-106, March.
    • Handle: RePEc:bla:jorssc:v:39:y:1990:i:1:p:95-106
    DOI: 10.2307/2347815
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    Cited by:

    1. Joshua G. Maples & B. Wade Brorsen, 2022. "Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 70(2), pages 139-152, June.
    2. Sherrick, Bruce J., 2002. "The Accuracy Of Producers' Probability Beliefs: Evidence And Implications For Insurance Valuation," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 27(1), pages 1-17, July.

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