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Problems with an Econometric Test of Forecast Accuracy

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  • Gordon, J. Douglas
  • Wang, George H. K.

Abstract

I'1any economists have used econometric forecast accuracy tests to evaluate the pricing perfonnance of futures markets. Several studies appear to reject the null hypothesis of unbiased forecasts. We shCM that forecast bias can be a result of misspecification of the model. Alternative tests of market efficiency are discussed.

Suggested Citation

  • Gordon, J. Douglas & Wang, George H. K., 1988. "Problems with an Econometric Test of Forecast Accuracy," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270294, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea88:270294
    DOI: 10.22004/ag.econ.270294
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    References listed on IDEAS

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    1. Michael A. Hudson & Raymond M. Leuthold & Gboroton F. Sarassoro, 1987. "Commodity futures price changes: Recent evidence for wheat, soybeans and live cattle," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(3), pages 287-301, June.
    2. Larry Martin & Philip Garcia, 1981. "The Price-Forecasting Performance of Futures Markets for Live Cattle and Hogs: A Disaggregated Analysis," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 63(2), pages 209-215.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    4. Robert W. Kolb & Gerald D. Gay, 1983. "The performance of live cattle futures as predictors of subsequent spot prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(1), pages 55-63, March.
    5. Rulon D. Pope & Arne Hallam, 1986. "A Confusion of Agricultural Economists?—A Professional Interest Survey and Essay," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(3), pages 572-594.
    6. 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.
    7. Raymond M. Leuthold, 1974. "The Price Performance on the Futures Market of a Nonstorable Commodity: Live Beef Cattle," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 56(2), pages 271-279.
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    Cited by:

    1. Hoffman, Linwood A., 1990. "How Efficient Is The Rough Rice Futures Market?," 1990 Annual meeting, August 5-8, Vancouver, Canada 270860, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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