Forecasting U.S. Shelled Pecan Prices: A Cointegration Approach

Mohammed Ibrahim and Wojciech J. Florkowski

No 34838, 2007 Annual Meeting, February 4-7, 2007, Mobile, Alabama from Southern Agricultural Economics Association

Abstract: The relationship between shelled pecan prices and inventories is examined drawing using Engle-Granger and Johansen approaches to cointegration. Forecasts are made using the univariate ARIMA and cointegration methods. Monthly data are used (January 1992 to December 2004). Results suggest that both shelled pecan inventories and shelled pecan prices are nonstationary. Both Engle-Granger and Johansen cointegration tests found evidence of long run relationship between pecan prices and inventories. The ARIMA model outperformed the coointegration techniques at shorter forecast periods. The Cointegration methods, however, outperformed the ARIMA model with the Engle-Granger cointegration having the smallest MAPE statistic.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Pages: 11
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ageconsearch.umn.edu/record/34838/files/sp07ib08.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:saeasm:34838

DOI: 10.22004/ag.econ.34838

Access Statistics for this paper

More papers in 2007 Annual Meeting, February 4-7, 2007, Mobile, Alabama from Southern Agricultural Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().