Forecasting livestock prices: Fixed and stochastic coefficients estimation comparisons

✍ Scribed by Roger K. Conway; Charles B. Hallahan; Richard P. Stillman; Paul T. Prentice

• Book ID: 102679067
• Publisher: John Wiley and Sons
• Year: 1990
• Tongue: English
• Weight: 788 KB
• Volume: 6
• Category: Article
• ISSN: 0742-4477
• DOI: 10.1002/1520-6297(199001)6:1<15::aid-agr2720060103>3.0.co;2-l

✦ Synopsis

Agricultural commodity analysts have systematically overpredicted livestock prices during the 1980s by using econometric forecasting models that do not account for changing economic conditions. This article compares the out-of-sample forecast performance of the Swamy-Tinsley stochastic coefficients model with ordinary least squares, Cochrane-Orcutt, and maximum likelihood procedures that estimate red meat and chicken prices. The ability of a stochastic coefficients model to adapt quickly to changing economic conditions helps make it almost uniformly superior to a fixed coefficients model in forecasting the quarterly retail price for beef and chicken. The Cochrane-Orcutt and maximum-likelihood procedures appear to forecast pork prices better.