AN EVALUATION OF POINT AND DENSITY FORECASTS FOR SELECTED EU FARM GATE MILK PRICES
Fundamental changes to the common agricultural policy (CAP) have led to greater market orientation which in turn has resulted in sharply increased variability of EU farm gate milk prices and thus farmers’ income. In this market environment reliable forecasts of farm gate milk prices are extremely...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
International Journal of Food and Agricultural Economics
2018-01-01
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| Series: | International Journal of Food and Agricultural Economics |
| Subjects: | |
| Online Access: | http://www.foodandagriculturejournal.com/Vol6.%20No.1.pp23.pdf |
| Summary: | Fundamental changes to the common agricultural policy (CAP) have led to greater market
orientation which in turn has resulted in sharply increased variability of EU farm gate milk
prices and thus farmers’ income. In this market environment reliable forecasts of farm gate
milk prices are extremely important as farmers can make improved decisions with regards to
cash flow management and budget preparation. In addition these forecasts may be used in
setting fixed priced contracts between dairy farmers and processors thus providing certainty
and reducing risk. In this study both point and density forecasts from various time series
models for farm gate milk prices in Germany, Ireland and for an average EU price series are
evaluated using a rolling window framework. Additionally forecasts of the individual models
are combined using different combination schemes. The results of the out of sample evaluation
show that ARIMA type models perform well on short forecast horizons (1 to 3 month) while
the structural time series approach performs well on longer forecast horizons (12 month).
Finally combining individual forecasts of different models significantly improves the forecast
performance for all forecast horizons. |
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| ISSN: | 2147-8988 2147-8988 |