EconPapers    
Economics at your fingertips  
 

Corn Cash Price Forecasting

Xiaojie Xu

American Journal of Agricultural Economics, 2020, vol. 102, issue 4, 1297-1320

Abstract: We examine the forecasting problem in a data set of daily corn cash prices from seven states: Iowa, Illinois, Indiana, Ohio, Minnesota, Nebraska, and Kansas. We assess thirty individual time series models and ten combined forecasts based on six trimming strategies across three out‐of‐time evaluation periods, seven horizons, and two systems (bi‐ and multivariate). Using the unrestricted least squares without an intercept to estimate combination weights of individual models without trimming arrives at the lowest root mean squared errors across all evaluation dimensions. Incorporating local cash prices in a model could benefit accuracy, especially for relatively longer out‐of‐time evaluation periods and forecast horizons. Our results suggest model recalibration frequency no lower than one month. Discussions of empirical findings at a more granular level also are presented, including comparisons of individual time series models and those of combined forecasts based on different trimming strategies. The forecasting framework shown here is not difficult to implement and has potential of generalizing to other commodities. This article thus contributes to fulfilling different forecasting users' information needs for decision making under various circumstances.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1002/ajae.12041

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:wly:ajagec:v:102:y:2020:i:4:p:1297-1320

Access Statistics for this article

More articles in American Journal of Agricultural Economics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2021-01-23
Handle: RePEc:wly:ajagec:v:102:y:2020:i:4:p:1297-1320