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Forecast evaluations in meat demand analysis
Author(s) -
Wang Zijun,
Bessler David A.
Publication year - 2003
Publication title -
agribusiness
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.57
H-Index - 43
eISSN - 1520-6297
pISSN - 0742-4477
DOI - 10.1002/agr.10074
Subject(s) - cointegration , econometrics , economics , error correction model , econlit , homogeneity (statistics) , statistics , mathematics , political science , law , medline
This article offers a comparison of short‐term forecasting ability of five demand systems with an application to U.S. meat consumption. Four static demand systems (AIDS, Rotterdam, AIM, and DGM) and a dynamic Vector Error Correction Model (VECM) are considered. We tested the equality of mean square forecast errors. We also investigated the possibility of forecast encompassing among competing models. In general, the dynamic VECM model performed best, followed by the simple causal DGM model. Among three static systems, the AIDS model slightly leads the competition. Furthermore, this article provides the first evidence in literature on whether imposition of homogeneity restrictions on a cointegration space can improve the forecast accuracy of a VECM model: it does when it holds. [EconLit citations: Q10; C53]. © 2003 Wiley Periodicals, Inc. Agribusiness 19: 505–523, 2003.