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✦   LIBER   ✦

A reappraisal of the forecasting performance of corn and soybean new crop futures

✍ Scribed by Zulauf, Carl R.; Irwin, Scott H.; Ropp, Jason E.; Sberna, Anthony J.

Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
233 KB
Volume
19
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Forecasting performance of December corn and November soybean futures contracts during the previous spring was evaluated using the commonly specified price-level and percent-change models. These models invoke different assumptions regarding stationarity. Using Stein's analytical framework, results for the price-level model suggest avoidable social loss existed in the soybean market since 1973, because November futures provided biased forecasts. Regression R 2 s for both corn and soybeans declined substantially between 1952-The authors thank Willam Tomek for his insightful comments and suggestions. Salaries and research support were provided by State and Federal Funds appropriated to the Ohio Agricultural Research and Development Center, The Ohio State University.

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