A Test of Forecast Consistency Using USDA Livestock Price Forecasts

Dwight R. Sanders and Mark Manfredo

No 19042, 2005 Conference, April 18-19, 2005, St. Louis, Missouri from NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: In traditional tests of forecast rationality, price forecasts are usually differenced to obtain stationarity. However, this data transformation may ignore important long-run information contained in forecasted price levels. Here, the concept of forecast consistency is paired with rationality concepts used in the market efficiency literature to develop a sequential testing procedure for forecast consistency and rationality. USDA quarterly livestock price forecasts do not demonstrate long-run consistency.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Pages: 12
Date: 2005
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:ncrfiv:19042

DOI: 10.22004/ag.econ.19042

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