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AgEcon Search >
Marine Resource Economics >
Volume 10, Number 2, 1995 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/49030
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| Title: | Deseasonalized Sate-Space Time Series Forecasting with Application to the US Salmon Market |
| Authors: | Gu, Guang
Anderson, James L. |
| Keywords: | price forecasting
salmon market
seasonality
state-space
time series analysis |
| Issue Date: | 1995 |
| Series/Report no.: | Marine Resource Economics
Vol. 10 No. 2 |
| Abstract: | An approach that combines seasonality removal with a multivariate, state-space, time series forecasting model is developed to provide shortrun forecasts for the US salmon market. Time series included in the model are: US fresh Atlantic salmon wholesale price index; fresh salmon (Atlantic, coho and Chinook) monthly US import quantities and prices; and US chum and
sockeye salmon monthly export prices. Four versions of the state-space forecasting
model are compared in terms of their statistical performance during out-of-sample forecasts. Out-of-sample 3-, 6- and 12-month ahead directional predictions are generated to test the models' performance in terms of direction. Under identical modeling conditions, out-of-sample statistical and directional tests indicate that deseasonalization improves the overall performance of the state-space model. As a result, a linear, deseasonalized, state-space
forecasting model is selected to provide twelve monthly out-of-sample forecasts
for all series. |
| URI: | http://purl.umn.edu/49030 |
| Identifiers: | 0738-1360 |
| Institution/Association: | Marine Resource Economics>Volume 10, Number 2, 1995 |
| Total Pages: | 15 |
| From Page: | 171 |
| To Page: | 185 |
| Collections: | Volume 10, Number 2, 1995
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| 18822909.pdf | | 3357Kb | PDF | View/Open |
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