The Role of Theoretical Restrictions in Price Forecasting with Inverse Demand Models

Henry Klaiber and Matthew Holt

No 9968, 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: In recent years the theoretical restrictions of consumer demand have been examined in post sample forecasting exercises. However, this work has uniformly ignored the concavity restrictions of consumer demand. In this paper we evaluate a series of Normalized Quadratic Inverse Demand System (NQIDS) specifications using rolling windows and generating one-- to four--step ahead forecasts. To estimate the models, eleven categories of South Atlantic fish are used from 1980 through 2001. In addition to the NQIDS, we also examine the forecasting performance of a purely time series model. We find that the best predictions are achieved using a composite forecast.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Pages: 23
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea07:9968

DOI: 10.22004/ag.econ.9968

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