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Frocasting Soybean Complex Prices: Univariate and Multivariate Time Series Models

Author

Listed:
  • Tinker, Jonathan N.
  • Gerlow, Mary E.
  • Irwin, Scott H.
  • Zulauf, Carl R.

Abstract

To forecast prices within the soybean complex, a univariate, ARIMA, time series model and a multivariate, VAR, time series model are constructed. An economic evaluation of these models provides evidence that the VAR model will offer greater opportunity for significant economic returns than will the use of an ARIMA model.

Suggested Citation

  • Tinker, Jonathan N. & Gerlow, Mary E. & Irwin, Scott H. & Zulauf, Carl R., 1989. "Frocasting Soybean Complex Prices: Univariate and Multivariate Time Series Models," 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana 270488, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea89:270488
    DOI: 10.22004/ag.econ.270488
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    References listed on IDEAS

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    1. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    2. Garcia, Philip & Hudson, Michael A. & Waller, Mark L., 1988. "The Pricing Efficiency Of Agricultural Futures Markets: An Analysis Of Previous Research Results," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 20(1), pages 1-12, July.
    3. Stewart L. Brown, 1985. "A Reformulation of the Portfolio Model of Hedging," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 67(3), pages 508-512.
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