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Forecasting Hog Prices Using Time Series Analysis Of Residuals

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  • Holt, Matthew T.
  • Brandt, Jon A.

Abstract

A time series analysis of the residuals (TSAR) of a single-equation econometric hog-price forecasting model is conducted. Post-sample forecasts from the integrated econometric-time series model were compared with forecasts from individual econometric and time series approaches. The TSAR forecasts offered some improvement over the individual methods.

Suggested Citation

  • Holt, Matthew T. & Brandt, Jon A., 1985. "Forecasting Hog Prices Using Time Series Analysis Of Residuals," 1985 Annual Meeting, August 4-7, Ames, Iowa 278558, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea85:278558
    DOI: 10.22004/ag.econ.278558
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    References listed on IDEAS

    as
    1. G. E. P. Box & G. C. Tiao, 1976. "Comparison of Forecast and Actuality," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(3), pages 195-200, November.
    2. Ashley, Richard A. & Granger, Clive W. J., 1979. "Time series analysis of residuals from the St. Louis model," Journal of Macroeconomics, Elsevier, vol. 1(4), pages 373-394.
    3. Jon A. Brandt & David A. Bessler, 1981. "Composite Forecasting: An Application with U.S. Hog Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 63(1), pages 135-140.
    4. Ansley, Craig F. & Newbold, Paul, 1980. "Finite sample properties of estimators for autoregressive moving average models," Journal of Econometrics, Elsevier, vol. 13(2), pages 159-183, June.
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