Abstract
Despite recurrent evaluations on USDA price forecasts, the performance of USDA price estimates has not previously been examined in publication. To fill the void in research to this important public information, a sequential forecast evaluation procedure is applied to selected USDA price estimates: Rice, soybeans, and wheat. The evaluation procedure reveals that the USDA price estimates are short-run unbiased; however, they are not long-run rational. In addition, short-run optimality and efficiency tests suggest that USDA price estimates need to be properly scaled and fully reflect information embodied in past prices and their estimates — a possible venue to improve the predictability of USDA price estimates for the crops.
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Notes
Model 1 specifies that the level data have no deterministic trends and the co-integrating equations do not have an intercept; Model 2 specifies that the level data have no deterministic trends and the co-integrating equations have an intercept; Model 3 indicates that the level data have linear trends but the co-integrating equations have only intercepts; Model 4 assumes that the level data and co-integrating equations include linear trends; lastly Model 5 assumes that the level data have quadratic trends and the co-integrating equations have linear trends.
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No, S.C., Salassi, M.E. A Sequential Rationality Test of USDA Preliminary Price Estimates for Selected Program Crops: Rice, Soybeans, and Wheat. Int Adv Econ Res 15, 470–482 (2009). https://doi.org/10.1007/s11294-009-9228-5
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DOI: https://doi.org/10.1007/s11294-009-9228-5
Keywords
- A sequential rationality test
- USDA price estimates
- Time-series model
JEL
- D40
- Q11
- C32
- C53
- C10
- Q00