Forecast Performance of Futures Price Models for Corn, Soybeans, and Wheat

A futures price forecasting model is presented which uses monthly futures prices, cash prices received, basis values (cash prices less futures), and marketing weights to forecast the season-average farm price for U.S. corn, soybeans, and wheat. Accuracy of model forecasts are examined using standard measures, such as mean absolute error (MAE), mean absolute percentage error (MAPE), and root mean squared percentage error (RMSPE). Tests for statistical differences between the futures model forecast and price projections from World Agricultural Supply and Demand Estimates (WASDE), are conducted using the modified Diebold-Mariano test statistic. Forecast encompassing tests are conducted to determine whether the futures model forecasts would benefit by combining them with WASDE forecasts.


Subject(s):
Issue Date:
2007
Publication Type:
Conference Paper/ Presentation
Record Identifier:
http://ageconsearch.umn.edu/record/9889
PURL Identifier:
http://purl.umn.edu/9889
Total Pages:
32
Note:
Replaced with revised version of paper 06/15/07.
Series Statement:
Selected Paper 174206




 Record created 2017-04-01, last modified 2018-01-22

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