Vector Autoregression Forecasting Models: Suggested Improvements

Michael S. Kaylen

No 278167, 1986 Annual Meeting, July 27-30, Reno, Nevada from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Two methods for building vector autoregression forecasting models are proposed. The first allows exclusion of intermediate lags; the second considers •the effects of jointly entering lags from different series into an equation. Live hog market models are developed and out-of-sample forecasting results suggest both methods have merit.

Keywords: Livestock Production/Industries; Marketing (search for similar items in EconPapers)
Pages: 15
Date: 1986-07
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea86:278167

DOI: 10.22004/ag.econ.278167

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