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      Forecasting prices of dairy commodities – a comparison of linear and nonlinear models

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      Irish Journal of Agricultural and Food Research

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      Dairy commodity prices, forecasting, linear models, nonlinear models, volatility

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          Abstract

          Dairy 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.

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          Most cited references 48

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          Tests of Equality Between Sets of Coefficients in Two Linear Regressions

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            Fitting autoregressive models for prediction

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              Estimating the Dimension of a Model

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                Author and article information

                Journal
                ijafr
                ijafr
                Irish Journal of Agricultural and Food Research
                IJAFR
                Compuscript (Ireland )
                0791-6833
                30 November 2020
                Affiliations
                1TINE SA, Department of Research and Development, Farm Advisory Services, TINE SA, Postbox 58, N-1431, Ås, Norway
                Author notes
                †Corresponding author: B.G. Hansen, E-mail: bjorn.gunnar.hansen@ 123456tine.no
                Article
                10.15212/ijafr-2020-0101
                Copyright © 2020 Hansen

                This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivs license CC BY-NC-ND 3.0 IE.

                Page count
                Figures: 6, Tables: 13, References: 59, Pages: 15
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