文章基本信息

标题：Alternative Model Selection Using Forecast Error Variance Decompositions in Wholesale Chicken Markets
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作者：McKenzie, Andrew M. ; Goodwin, Harold L., Jr. ; Carreira, Rita I. 等
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2009
卷号：40
期号：4
页码：227-240
出版社：Food Distribution Research Society
摘要：Although Vector Autoregressive models are commonly used to forecast prices, specification of these models remains an issue. Questions that arise include choice of variables and lag length. This article examines the use of Forecast Error Variance Decompositions to guide the econometrician’s model specification. Forecasting performance of Variance Autoregressive models, generated from Forecast Error Variance Decompositions, is analyzed within wholesale chicken markets. Results show that the Forecast Error Variance Decomposition approach has the potential to provide superior model selections to traditional Granger Causality tests.
关键词：broiler markets;DAGs;forecasting;market structure;VAR