PRICE FORECASTING WITH TIME-SERIES METHODS AND NONSTATIONARY DATA: AN APPLICATION TO MONTHLY U.S. CATTLE PRICES

The forecasting performance of various multivariate as well as univariate ARIMA models is evaluated in the presence of nonstationarity. The results indicate the importance of identifying the characteristics of the time series by testing for types of nonstationarity. Procedures that permit model specifications consistent with the systemÂ’s dynamics provide the most accurate forecasts.

MoreLess

Year of publication:	1990
Authors:	Zapata, Hector O. ; Garcia, Philip
Published in:	Western Journal of Agricultural Economics. - Western Agricultural Economics Association - WAEA. - Vol. 15.1990, 01
Publisher:	Western Agricultural Economics Association - WAEA
Subject:	Demand and Price Analysis \| Livestock Production/Industries

More details

Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005041674