Impacts of Permanent and Transitory Shocks on Optimal Length of Moving Average to Predict Wheat Basis

A new stochastic process is introduced where permanent changes occur following a Poisson jump process and temporary changes occur following a normal distribution. The model is estimated using hard wheat basis data and is used to explain why the optimal length of moving average to forecast basis varies over time. The estimated probability of jumps is large and thus the optimal length of moving average is small.

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Year of publication:	2012
Authors:	Lee, Yoonsuk ; Brorsen, B. Wade
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	basis \| jump-diffusion process \| Monte Carlo simulation \| Research and Development/Tech Change/Emerging Technologies \| Research Methods/ Statistical Methods

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Extent:	application/pdf
Series:	2012 Annual Meeting, August 12-14, 2012, Seattle, Washington.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington Number 125001
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010916393