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Forecasting quarterly hog prices: Simple autoregressive models vs. naive predictions

Author

Listed:
  • Ole Gjølberg

    (Department of Economics and Social Sciences at the Agricultural University of Norway)

  • Berth-Arne Bengtsson

    (Department of Economics, Swedish University of Agricultural Sciences, Box 7013, S-750 07, UPPSALA, Sweden)

Abstract

In this note, we study the forecasting performance of some simple models applied to the hog markets in the Nordic countries. In terms of accuracy (MSE and MAPE), a simple autoregressive model outperforms the naive expectations benchmark in some samples, as does a very simple VAR-type model in which lagged piglet prices are added to the lagged hog prices as RHS variables. Forecasting performance is, however, quite sensitive to the chosen lag structure, and there is reason to doubt whether the simple autoregressive model from an economic point of view yields significantly better results than those of the naive model. Focusing on directional forecasts, on the other hand, the simple VAR-models perform clearly better. Thus, for producers whose main concern it is whether the price moves up or down, these models may be quite useful. © 1997 John Wiley & Sons, Inc.

Suggested Citation

  • Ole Gjølberg & Berth-Arne Bengtsson, 1997. "Forecasting quarterly hog prices: Simple autoregressive models vs. naive predictions," Agribusiness, John Wiley & Sons, Ltd., vol. 13(6), pages 673-679.
  • Handle: RePEc:wly:agribz:v:13:y:1997:i:6:p:673-679
    DOI: 10.1002/(SICI)1520-6297(199711/12)13:6<673::AID-AGR11>3.0.CO;2-1
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    References listed on IDEAS

    as
    1. Raymond M. Leuthold & Peter A. Hartmann, 1979. "A Semi-Strong Form Evaluation of the Efficiency of the Hog Futures Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 61(3), pages 482-489.
    2. Eugene F. Fama & Kenneth R. French, 2015. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 4, pages 79-102, World Scientific Publishing Co. Pte. Ltd..
    3. Foote, Richard J. & Williams, Robert R. Jr & Craven, John A., 1973. "Quarterly and Shorter-Term Price Forecasting Models Relating to Cash and Futures Quotations for Pork Bellies," Technical Bulletins 158603, United States Department of Agriculture, Economic Research Service.
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    Cited by:

    1. Pena-Levano, Luis M. & Ramirez, Octavio & Renteria-Pinon, Mario, 2015. "Efficiency Gains in Commodity Forecasting with High Volatility in Prices using Different Levels of Data Aggregation," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205740, Agricultural and Applied Economics Association.
    2. Pena-Levano, Luis M & Foster, Kenneth, 2016. "Efficiency gains in commodity forecasting using disaggregated levels versus more aggregated predictions," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235792, Agricultural and Applied Economics Association.

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