Quantile Regression Estimates of Confidence Intervals for WASDE Price Forecasts
This study uses quantile regressions to estimate historical forecast error distributions for WASDE forecasts of corn, soybean, and wheat prices, and then compute confidence limits for the forecasts based on the empirical distributions. Quantile regressions with fit errors expressed as a function of...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Western Agricultural Economics Association
2010-12-01
|
| Series: | Journal of Agricultural and Resource Economics |
| Subjects: | |
| Online Access: | https://ageconsearch.umn.edu/record/99120 |
| _version_ | 1828423775897518080 |
|---|---|
| author | Olga Isengildina-Massa Scott H. Irwin Darrel L. Good |
| author_facet | Olga Isengildina-Massa Scott H. Irwin Darrel L. Good |
| author_sort | Olga Isengildina-Massa |
| collection | DOAJ |
| description | This study uses quantile regressions to estimate historical forecast error distributions for WASDE forecasts of corn, soybean, and wheat prices, and then compute confidence limits for the forecasts based on the empirical distributions. Quantile regressions with fit errors expressed as a function of forecast lead time are consistent with theoretical forecast variance expressions while avoiding assumptions of normality and optimality. Based on out-of-sample accuracy tests over 1995/96Ð2006/07, quantile regression methods produced intervals consistent with the target confidence level. Overall, this study demonstrates that empirical approaches may be used to construct accurate confidence intervals for WASDE corn, soybean, and wheat price forecasts. |
| first_indexed | 2024-12-10T16:06:22Z |
| format | Article |
| id | doaj.art-5ff282b12d02492f95f1a414634060c9 |
| institution | Directory Open Access Journal |
| issn | 1068-5502 2327-8285 |
| language | English |
| last_indexed | 2024-12-10T16:06:22Z |
| publishDate | 2010-12-01 |
| publisher | Western Agricultural Economics Association |
| record_format | Article |
| series | Journal of Agricultural and Resource Economics |
| spelling | doaj.art-5ff282b12d02492f95f1a414634060c92022-12-22T01:42:13ZengWestern Agricultural Economics AssociationJournal of Agricultural and Resource Economics1068-55022327-82852010-12-0135354556710.22004/ag.econ.9912099120Quantile Regression Estimates of Confidence Intervals for WASDE Price ForecastsOlga Isengildina-MassaScott H. IrwinDarrel L. GoodThis study uses quantile regressions to estimate historical forecast error distributions for WASDE forecasts of corn, soybean, and wheat prices, and then compute confidence limits for the forecasts based on the empirical distributions. Quantile regressions with fit errors expressed as a function of forecast lead time are consistent with theoretical forecast variance expressions while avoiding assumptions of normality and optimality. Based on out-of-sample accuracy tests over 1995/96Ð2006/07, quantile regression methods produced intervals consistent with the target confidence level. Overall, this study demonstrates that empirical approaches may be used to construct accurate confidence intervals for WASDE corn, soybean, and wheat price forecasts.https://ageconsearch.umn.edu/record/99120commodityevaluating forecastsgovernment forecastingjudgmental forecastingprediction intervalsprice forecasting |
| spellingShingle | Olga Isengildina-Massa Scott H. Irwin Darrel L. Good Quantile Regression Estimates of Confidence Intervals for WASDE Price Forecasts Journal of Agricultural and Resource Economics commodity evaluating forecasts government forecasting judgmental forecasting prediction intervals price forecasting |
| title | Quantile Regression Estimates of Confidence Intervals for WASDE Price Forecasts |
| title_full | Quantile Regression Estimates of Confidence Intervals for WASDE Price Forecasts |
| title_fullStr | Quantile Regression Estimates of Confidence Intervals for WASDE Price Forecasts |
| title_full_unstemmed | Quantile Regression Estimates of Confidence Intervals for WASDE Price Forecasts |
| title_short | Quantile Regression Estimates of Confidence Intervals for WASDE Price Forecasts |
| title_sort | quantile regression estimates of confidence intervals for wasde price forecasts |
| topic | commodity evaluating forecasts government forecasting judgmental forecasting prediction intervals price forecasting |
| url | https://ageconsearch.umn.edu/record/99120 |
| work_keys_str_mv | AT olgaisengildinamassa quantileregressionestimatesofconfidenceintervalsforwasdepriceforecasts AT scotthirwin quantileregressionestimatesofconfidenceintervalsforwasdepriceforecasts AT darrellgood quantileregressionestimatesofconfidenceintervalsforwasdepriceforecasts |