Abstract
The value of timely and accurate forecasts can hardly be overstated. Because remuneration for accurate forecasting is so great, an army of economists, traders, and speculators expend considerable effort to gain insight into the future path of asset prices. Theoretically, the efforts of these agents drives markets to efficiency. In a frictionless world, efficiency implies that asset values would tend to follow a random walk. Under this sort of stochastic process, the best predictor of price in period t+1 is the price at time t.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Aoki, Masanao and Arthur M. Havenner. “State Space Modeling of Multiple Time Series.” Econometric Reviews. Vol. 10, (1991): 1–59.
Aoki, Masanao. State Space Modelling of Time Series. 2nd edition. Springer-Verlag, 1990.
Cerchi, Marlene and Arthur M. Havenner. “Cointegration and Stock Prices: The Random Walk on Wall Street Revisited.” Journal of Economic Dynamics and Control. Vol. 12 (1988): 333–346.
De Jong, David, N. and Charles H. Whiteman. “The Forecasting Attributes of Trend-and Difference-Stationary Representations for Macroeconomics Time Series.” Journal of Forecasting. Vol 13 (1994): 279–288.
Engle, R. G. and C. W. J. Granger. “Cointegration and Error Correction: Representation, Estimation, and Testing.” Econometrica. Vol. 55 (1987): 251–276.
Foster, Kenneth A., and Arthur M. Havenner. “Cointegration and Settlement of Commodity Futures Contracts.” University of California, Davis, Department of Agricultural Economics, Working Paper No. 92-09, 1992.
Granger, C.W.J. “Developments in the Study of Cointegrated Economic Variables.” Oxford Bulletin of Economics and Statistics. Vol. 48 (1986): 213–228.
Henriksson, R. D. and R. C. Merton. “On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills.” Journal of Business. Vol. 54 (1981): 513–553.
Walburger, Allan. Modeling and Testing the Efficiency of Price Discovery in Live Cattle Markets: A Linear Systems State Space Approach. Ph.D. Dissertation, Purdue University, 1994.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1997 Springer-Verlag New York, Inc.
About this paper
Cite this paper
Arndt, C., Foster, K. (1997). Forecasts of Monthly U.S. Wheat Prices: A Spatial Market Analysis. In: Aoki, M., Havenner, A.M. (eds) Applications of Computer Aided Time Series Modeling. Lecture Notes in Statistics, vol 119. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-2252-1_4
Download citation
DOI: https://doi.org/10.1007/978-1-4612-2252-1_4
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-94751-8
Online ISBN: 978-1-4612-2252-1
eBook Packages: Springer Book Archive