An evaluation of price forecasts of the cattle market under structural changes

Selin Guney

No 205109, 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California from Agricultural and Applied Economics Association

Abstract: The specific purpose of this paper is to investigate the potential of a time series analysis technique, namely the Time Varying Parameter Vector Autoregressive Model (TVPVAR) technique, in the development of daily forecasting models for cattle prices in the presence of structural changes. More specific objectives are to integrate smoothing techniques and stochastic volatility into TVPAR modeling framework based exclusively on time series for cash-cattle prices, and to compare the accuracy and evaluate the forecasting performance of this model with the standard VAR model based on forecast accuracy measures.

Keywords: Agribusiness; Agricultural and Food Policy; Demand and Price Analysis; Farm Management; Livestock Production/Industries (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-for and nep-mac
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea15:205109

DOI: 10.22004/ag.econ.205109

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