Empirical Confidence Intervals for WASDE Forecasts of Corn, Soybean and Wheat Prices

This study suggests that confidence intervals for WASDE forecasts of corn, soybean, and wheat prices may be improved if they are estimated using an empirical approach. Empirical confidence intervals are calculated following Williams and Goodman's (1971) method and use historical forecast errors to estimate forecast error distributions which is then used to predict confidence limits for future forecast errors. Three procedures for empirical distribution estimation are compared: 1) histogram, 2) changing distribution, 3) fixed distribution. The results suggest that the fixed distribution approach using logistic distribution provided accurate confidence intervals for WASDE corn, soybean, and wheat price forecasts.


Issue Date:
2006
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/18995
Total Pages:
25
Series Statement:
2006 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management




 Record created 2017-04-01, last modified 2017-08-24

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