Prequential Analysis of Cattle Prices

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.