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System Theoretic Time‐Series Forecasts of Weekly Live Cattle Prices
Author(s) -
Foster Kenneth A.,
Havenner Arthur M.,
Walburger Allan M.
Publication year - 1995
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.2307/1243824
Subject(s) - arbitrage , econometrics , stock (firearms) , series (stratigraphy) , multivariate statistics , economics , statistical arbitrage , financial economics , computer science , mathematics , statistics , arbitrage pricing theory , geography , geology , risk arbitrage , capital asset pricing model , paleontology , archaeology
Multivariate time‐series forecasts of weekly live cattle prices in six different geographic markets are developed using a procedure based on the principles of linear systems theory. These forecasts were found to be informative and superior to those obtained from an alternative model. Following the approach developed for stock prices by Cerchi and Havenner, arbitrage portfolios were constructed from the model parameters. A simulation exercise based on 208 weekly observations withheld from model specification and estimation suggests that these arbitrage activities would have been profitable in practice.