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Prequential Analysis of Cattle Prices
Author(s) -
Bessler David A.,
Kling John L.
Publication year - 1990
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2347815
Subject(s) - econometrics , mathematics , statistics , economics , mathematical economics
SUMMARY The paper considers the prequential analysis of cash and futures cattle prices. Both univariate and bivariate models are studied. Mean‐squared error and probability calibration metrics are used to judge the adequacy of the models. Results suggest that the multivariate model provides more information than the univariate model on the predictive distribution of cash prices, while the multivariate model on futures prices does not offer any additional information than that contained in the univariate model of futures prices.