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 483408
Title Price Density Forecasts in the U.S. Hog Market: Composite Procedures
Author(s) Trujillo Barrera, A.A.; Garcia, P.; Mallory, M.
Event NCCC-134 Conference, St. Louis, Missouri, 2013-04-22/2013-04-23
Department(s) Marketing and Consumer Behaviour
Publication type Contribution in proceedings
Publication year 2013
Abstract Abstract We develop and evaluate quarterly out-of-sample individual and composite density forecasts for U.S. hog prices using data from 1975.I to 2010.IV. Individual forecasts are generated from time series models and the implied distribution of USDA outlook forecasts. Composite density forecasts are constructed using linear and logarithmic combinations, and several straightforward weighting schemes. Density forecasts are evaluated on goodness of fit (calibration) and predictive accuracy (sharpness). Logarithmic combinations using equal and mean square error weights outperform all individual density forecasts and all linear combinations. Comparison of the USDA outlook forecasts to the best logarithmic composite demonstrates the consistent superiority of the composite procedure, and identifies the potential to provide hog producers and market participants with accurate expected price probability distributions that can facilitate decision making. Keywords: Density Forecast Combination, Commodity Price Analysis.
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