Show simple item record

dc.contributor.authorHansen, B.G.
dc.date.accessioned2021-08-23T11:38:51Z
dc.date.available2021-08-23T11:38:51Z
dc.date.issued2020-11-30
dc.identifier.citationHansen BG. Forecasting prices of dairy commodities – a comparison of linear and nonlinear models. Irish Journal of Agricultural and Food Research 2020;59(1):98-112; doi http://dx.doi.org/10.15212/ijafr-2020-0101en_US
dc.identifier.urihttp://hdl.handle.net/11019/2578
dc.descriptionpeer revieweden_US
dc.description.abstractDairy commodity prices have become more volatile over the last 10–11 yr. The aim of this paper was to produce reliable price forecasts for the most frequently traded dairy commodities. Altogether five linear and nonlinear time series models were applied. The analysis reveals that prices of dairy commodities reached a structural breakpoint in 2006/2007. The results also show that a combination of linear and nonlinear models is useful in forecasting commodity prices. In this study, the price of cheese is the most difficult to forecast, but a simple autoregressive (AR) model performs reasonably well after 12 mo. Similarly, for butter the AR model performs the best, while for skimmed milk powder (Smp), whole milk powder (Wmp) and whey powder (Whp) the nonlinear methods are the most accurate. However, few of the differences between models are significant according to the Diebold–Mariano (DM) test. The findings could be of interest to the whole dairy industry.en_US
dc.language.isoenen_US
dc.publisherTeagascen_US
dc.publisherCompuscript Ltd
dc.relation.ispartofseriesIrish Journal of Agricultural and Food Research;Vol. 59
dc.rightsAttribution-NonCommercial-ShareAlike 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/4.0/*
dc.subjectDairy commodity pricesen_US
dc.subjectforecastingen_US
dc.subjectlinear modelsen_US
dc.subjectnonlinear modelsen_US
dc.subjectvolatilityen_US
dc.titleForecasting prices of dairy commodities – a comparison of linear and nonlinear modelsen_US
dc.typeArticleen_US
dc.identifier.doihttp://dx.doi.org/10.15212/ijafr-2020-0101
dc.source.volume59
dc.source.issue1
refterms.dateFOA2021-08-23T11:38:52Z
dc.source.journaltitleIrish Journal of Agricultural and Food Research
dc.identifier.eissn0791-6833


Files in this item

Thumbnail
Name:
IJAFR-D-18-00003.pdf
Size:
608.4Kb
Format:
PDF
Description:
PDF of Main Article

This item appears in the following Collection(s)

Show simple item record

Attribution-NonCommercial-ShareAlike 4.0 International
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-ShareAlike 4.0 International