IDEAS home Printed from https://ideas.repec.org/p/ags/aaea87/270145.html
   My bibliography  Save this paper

Simultaneous Forecasting Of Price Magnitude And Direction Using Two-Stage Ols-Probit

Author

Listed:
  • Cloman, Livia
  • Epperson, James E.
  • Fu, Tsu-Tan

Abstract

The ability to accurately forecast price hinges largely on an ability to reflect both dimensions of price, magnitude and direction, in a forecasting model. This paper demonstrates how price magnitude and direction can be captured in a simultaneous forecasting system. Empirical results reflect the importance of the simultaneous forecasting procedure.

Suggested Citation

  • Cloman, Livia & Epperson, James E. & Fu, Tsu-Tan, 1987. "Simultaneous Forecasting Of Price Magnitude And Direction Using Two-Stage Ols-Probit," 1987 Annual Meeting, August 2-5, East Lansing, Michigan 270145, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea87:270145
    DOI: 10.22004/ag.econ.270145
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/270145/files/aaea-1987-155.pdf
    Download Restriction: no
    File URL: https://ageconsearch.umn.edu/record/270145/files/aaea-1987-155.pdf?subformat=pdfa
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.270145?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Oliveira, Ronald A. & O'Connor, Carl W. & Smith, Gary W., 1979. "Short-Run Forecasting Models Of Beef Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 4(1), pages 1-12, July.
    2. Menkhaus, Dale J. & Adams, Richard M., 1981. "Forecasting Price Movements: An Application Of Discriminant Analysis," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 6(2), pages 1-10, December.
    3. Richard E. Just & Gordon C. Rausser, 1981. "Commodity Price Forecasting with Large-Scale Econometric Models and the Futures Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 63(2), pages 197-208.
    4. Amemiya, Takeshi, 1979. "The Estimation of a Simultaneous-Equation Tobit Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(1), pages 169-181, February.
    5. Dan M. Bechter & Jack L. Rutner, 1978. "Forecasting with statistical models and a case study of retail sales," Economic Review, Federal Reserve Bank of Kansas City, vol. 63(Mar), pages 3-11.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. James E. Epperson & Stanley M. Fletcher, 1985. "Tandem Forecasting of Price and Probability–The Case of Watermelon," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 33(3), pages 375-385, November.
    2. Unknown, 1990. "Structural Change in Livestock: Causes, Implications, Alternatives," Research Institute on Livestock Pricing 232728, Virginia Polytechnic Institute and State University, Department of Agricultural and Applied Economics.
    3. Holt, Matthew T. & Brandt, Jon A., 1984. "Price Forecasting and Hedging to Enhance Prices and Reduce Risk," 1984 Annual Meeting, August 5-8, Ithaca, New York 278988, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    4. Menkhaus, Dale J. & Adams, Richard M., 1981. "Forecasting Price Movements: An Application Of Discriminant Analysis," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 6(2), pages 1-10, December.
    5. Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova & Michael Obersteiner, 2024. "Regime‐dependent commodity price dynamics: A predictive analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2822-2847, November.
    6. Mr. Aasim M. Husain & Chakriya Bowman, 2004. "Forecasting Commodity Prices: Futures Versus Judgment," IMF Working Papers 2004/041, International Monetary Fund.
    7. Yu, Xiaohua & Abler, David G. & Peng, Chao, 2008. "Dancing with the Dragon Heads: Enforcement, Innovations and Efficiency of Contracts between Agricultural Processors and Farmers in China," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6144, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    8. Gene Amromin, 2008. "Precautionary Savings Motives and Tax Efficiency of Household Portfolios: An Empirical Analysis," NBER Chapters, in: Tax Policy and the Economy, Volume 22, pages 5-41, National Bureau of Economic Research, Inc.
    9. Pontus Braunerhjelm, 1999. "Sunk costs, firm size and internationalization," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(4), pages 657-674, December.
    10. Covey, Ted & Bessler, David A., 1991. "The Role of Futures in Daily Forward Pricing," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271282, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    11. Kauffman, Daniel, 1984. "An Evaluation of the Potential for a Market in Hog Contracts," Agricultural Economic Report Series 201342, Michigan State University, Department of Agricultural, Food, and Resource Economics.
    12. Leandro M. Magnusson, 2010. "Inference in limited dependent variable models robust to weak identification," Econometrics Journal, Royal Economic Society, vol. 13(3), pages 56-79, October.
    13. Dirk W. Early, 1998. "The role of subsidized housing in reducing homelessness: An empirical investigation using micro-data," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 17(4), pages 687-696.
    14. William T. McSweeny & David E. Kenyon & Randall A. Kramer, 1987. "Toward an Appropriate Measure of Uncertainty in a Risk Programming Model," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 69(1), pages 87-96.
    15. A. Montini, 1999. "I consumi alimentari delle famiglie italiane: un modello per le decisioni di consumo extradomestico utilizzando i microdati di spesa familiare," Working Papers 364, Dipartimento Scienze Economiche, Universita' di Bologna.
    16. Maria Luisa Mancusi & Andrea Vezzulli & Serena Frazzoni & Zeno Rotondi & Maurizio Sobrero, 2018. "Export and Innovation in Small and Medium Enterprises: The Role of Concentrated Bank Borrowing," Economica, London School of Economics and Political Science, vol. 85(337), pages 177-204, January.
    17. Huang, Wen-Yuan & Hyberg, Bengt & Segarra, Eduardo, 1990. "A Variable Price Support Farm Program: A Transition Tool To A Free Market," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 22(1), pages 1-11, July.
    18. Paroissien, Emmanuel, 2020. "Forecasting bulk prices of Bordeaux wines using leading indicators," International Journal of Forecasting, Elsevier, vol. 36(2), pages 292-309.
    19. May, Gary J. & Lawrence, John D., 2002. "A Decision Model To Assess Cattle Feeding Price Risk," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19067, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    20. Yaoyao Wang & Yuanpei Kuang, 2023. "Evaluation, Regional Disparities and Driving Mechanisms of High-Quality Agricultural Development in China," Sustainability, MDPI, vol. 15(7), pages 1-20, April.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:aaea87:270145. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: http://www.aaea.org .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.