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Relationships between adaptive expectations, the exponentially weighted moving average, andoptimal Univariate statistical predictors are reviewed We show that the behavioral-based adaptiveexpectations are a subclass of both the exponentially weighted moving average and the (0,1,1)ARIMA model The applicability of the adaptive expectations model to 25 empirical price andquantity series is investigated The adaptive expectations behavior and the optimal statisticalforecasts are equivalent for 13 senes-11 on Yields and 2 on prices Numerous price series, whileexhibiting the general form o[ the adaptive expectations (a (0,1,1) ARIMA process), did not havea coefficient o[ expectations within the originally hypothesized range The behavior consistentwith the model underlying these price series would be trend extrapolation rather than averaging(averaging the most recent observation and Its forecast) Series measured at monthly or quarterlyIntervals were not adequately modeled by adaptive expectations or as a (0,1,1) ARIMA process

Keywords: Adaptive expectations ; exponentially weighted forecast ; optimal statistical predictor ; Nerlovian model

Subject(s): Agricultural and Food Policy

Research Methods/ Statistical Methods

Issue Date: 1982-04

Publication Type: Journal Article

PURL Identifier: http://purl.umn.edu/148819 Published in: Agricultural Economics Research, Volume 34, Number 2 Page range: 16-23

Total Pages: 8

Record appears in: United States Department of Agriculture (USDA) > Economic Research Service > Agricultural Economics Research





Autor: Bessler, David A.

Fuente: http://ageconsearch.umn.edu/record/148819?ln=en







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