PRICE FORECASTING WITH TIME-SERIES METHODS AND NONSTATIONARY DATA: AN APPLICATION TO MONTHLY U.S. CATTLE PRICES

Hector O. Zapata and Philip Garcia

Western Journal of Agricultural Economics, 1990, vol. 15, issue 01, 10

Abstract: The forecasting performance of various multivariate as well as univariate ARIMA models is evaluated in the presence of nonstationarity. The results indicate the importance of identifying the characteristics of the time series by testing for types of nonstationarity. Procedures that permit model specifications consistent with the system's dynamics provide the most accurate forecasts.

Keywords: Demand and Price Analysis; Livestock Production/Industries (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:wjagec:32505

DOI: 10.22004/ag.econ.32505

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