Staff Publications

Staff Publications

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    'Staff publications' is the digital repository of Wageningen University & Research

    'Staff publications' contains references to publications authored by Wageningen University staff from 1976 onward.

    Publications authored by the staff of the Research Institutes are available from 1995 onwards.

    Full text documents are added when available. The database is updated daily and currently holds about 240,000 items, of which 72,000 in open access.

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Record number 510250
Title Price density forecasts in the U.S. HOG Markets : Composite procedures
Author(s) Trujillo-Barrera, Andres; Garcia, Philip; Mallory, Mindy L.
Source American Journal of Agricultural Economics 98 (2016)5. - ISSN 0002-9092 - p. 1529 - 1544.
DOI http://dx.doi.org/10.1093/ajae/aaw050
Department(s) Marketing and Consumer Behaviour
WASS
Publication type Refereed Article in a scientific journal
Publication year 2016
Keyword(s) Commodity price analysis - density forecast combination
Abstract

We develop and evaluate quarterly out-of-sample individual and composite density forecasts for U.S. hog prices. Individual density forecasts are generated using time series models and the implied distributions of USDA and Iowa State University outlook forecasts. Composite density forecasts are constructed using linear and logarithmic combinations of the individual forecasts and several weighting schemes. Density forecasts are evaluated on predictive accuracy (sharpness), goodness of fit (calibration), and their economic value in a hedging simulation. Logarithmic combinations using equal and mean square error weights outperform all individual density forecasts and are modestly better than linear composites. Comparison of the outlook forecasts to the best composite demonstrates the usefulness of the composite procedure, and identifies the economic value that more accurate expected price probability distributions can provide to producers.

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