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Title:Alternative Forecasting Models for Farm Wheel Tractor Horsepower Purchases
Author(s):Olorunnipa, Zacch Isenewa
Department / Program:Agricultural Economics
Discipline:Agricultural Economics
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Economics, Agricultural
Abstract:Previous research efforts on tractor demand have concentrated mainly on hypothesis testing and providing explanations for underlying intrinsic relationships among variables. Very little attention has been devoted to forecasting tractor demand.
The primary objective of this study was to forecast U.S. farm wheel tractor horsepower purchases using alternative forecasting techniques. The methodological approach adopted involved the specification and estimation of three time series models and two econometric models. The time series models included a univariate ARIMA model and two multivariate models. The latter were comprised of an unrestricted (or Sim's) vector autoregression (SVAR) and a restricted (or Bayesian) autoregression model (BVAR). Correspondingly, the econometric models consisted of a single equation and a multiple equation tractor demand models. Each model was estimated over the period 1963 quarter three to 1983 quarter two and them used to generate six-steps ahead sequential forecasts over a ten quarter forecasting horizons (1983 quarter three to 1985 quarter four). Prior to each set of forecasts the models were updated with new market information.
The results indicate that with respect to the percentage root mean squared error (PRMSE), the time series models strikingly out-performed the econometric models at all forecast horizons. With respect to turning point predictions all the models performed quite satisfactorily with the time series models performing slightly better than the econometric models. The relatively poor performance of the econometric models was attributed to the possibility of structural change especially during the forecasting period. In addition, it was also possible that errors were compounded in the sense that the forecasts of the exogenous variables were required in order to forecast the endogenous variables.
A comparison of the relative performance of the time series models indicated that the univariate ARIMA model gave lower PRMSE at short-term forecasts horizons (up to two quarters ahead) but was out-performed by the VAR models at longer forecasts horizons. The implication of this for model users is that ARIMA models may be more reliable for tractor horsepower sales' forecasts required for short-term decisions such as inventory control, whereas, for longer-term forecasts required for planning production, the VAR models may be the appropriate choice. (Abstract shortened with permission of author.)
Issue Date:1987
Description:232 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1987.
Other Identifier(s):(UMI)AAI8803161
Date Available in IDEALS:2014-12-15
Date Deposited:1987

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