Alternative Model Selection Using Forecast Error Variance Decompositions in Wholesale Chicken Markets

Andrew M. McKenzie, Harold L. Goodwin and Rita . Carreira

Journal of Agricultural and Applied Economics, 2009, vol. 41, issue 01

Abstract: Although Vector Autoregressive models are commonly used to forecast prices, specification of these models remains an issue. Questions that arise include choice of variables and lag length. This article examines the use of Forecast Error Variance Decompositions to guide the econometrician’s model specification. Forecasting performance of Variance Autoregressive models, generated from Forecast Error Variance Decompositions, is analyzed within wholesale chicken markets. Results show that the Forecast Error Variance Decomposition approach has the potential to provide superior model selections to traditional Granger Causality tests.

Keywords: broiler markets; DAGs; forecasting; market structure; VAR; Agribusiness; Demand and Price Analysis; Livestock Production/Industries; Risk and Uncertainty; C53; D4; L1; Q00 (search for similar items in EconPapers)
Date: 2009
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