This paper investigates a vector auto regression model, using the Johansen cointegration technique, and the autoregressive integrated moving average time series models to determine the better model for forecasting US tree nut prices over the period 1992-2006. The Johansen contegration test shows lack of long run relationship among pecan, walnut, and almond prices. As such, only autoregressive integrated moving average-type models were used in forecasting U.S. nut prices.