Forecasting Cattle Prices in the Presence of Structural Change
نویسندگان
چکیده
منابع مشابه
Forecasting in the presence of recent structural change
We examine how to forecast after a recent break. We consider monitoring for change and then combining forecasts from models that do and do not use data before the change; and robust methods, namely rolling regressions, forecast averaging over different windows and exponentially weighted moving average (EWMA) forecasting. We derive analytical results for the performance of the robust methods rel...
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Structural change is a major source of forecast failure. Immediately after a break, forecasting problems are particularly severe due to a lack of information about the new data generation process. Techniques exist for monitoring for structural change in real time, but the optimal post-break strategy is unexplored. We consider two approaches. First, monitoring for change and then combining forec...
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Bid and ask sizes at the top of the order book provide information on short-term price moves. Drawing from classical descriptions of the order book in terms of queues and orderarrival rates (Smith et al (2003)), we consider a diffusion model for the evolution of the best bid/ask queues. We compute the probability that the next price move is upward, conditional on the best bid/ask sizes, the hid...
متن کاملForecasting under structural change
Forecasting strategies that are robust to structural breaks have earned renewed attention in the literature. They are built on weighted averages downweighting past information and include forecasting with rolling window, exponential smoothing or exponentially weighted moving average and forecast pooling. These simple strategies are particularly attractive because they are easy to implement, pos...
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ژورنال
عنوان ژورنال: Journal of Agricultural and Applied Economics
سال: 1992
ISSN: 1074-0708,2056-7405
DOI: 10.1017/s0081305200018331