Forecast Performance of Futures Price Models for Corn, Soybeans, and Wheat

Linwood Hoffman, Scott Irwin and Jose Toasa

No 9889, 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: A futures price forecasting model is presented which uses monthly futures prices, cash prices received, basis values (cash prices less futures), and marketing weights to forecast the season-average farm price for U.S. corn, soybeans, and wheat. Accuracy of model forecasts are examined using standard measures, such as mean absolute error (MAE), mean absolute percentage error (MAPE), and root mean squared percentage error (RMSPE). Tests for statistical differences between the futures model forecast and price projections from World Agricultural Supply and Demand Estimates (WASDE), are conducted using the modified Diebold-Mariano test statistic. Forecast encompassing tests are conducted to determine whether the futures model forecasts would benefit by combining them with WASDE forecasts.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 32
Date: 2007
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea07:9889

DOI: 10.22004/ag.econ.9889

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