The role of transition regime models for corn prices forecasting

Author:

Albuquerquemello Vinícius Phillipe de1ORCID,Medeiros Rennan Kertlly de2ORCID,Jesus Diego Pitta de2ORCID,Oliveira Felipe Araujo de3ORCID

Affiliation:

1. Universidade Federal de Pernambuco, Brasil

2. Universidade Federal da Paraíba, Brasil

3. B3 S.A., Brasil

Abstract

Abstract: Given the relevance of corn for food and fuel industries, analysts and scholars are constantly comparing the forecasting accuracy of econometric models. These exercises test not only for the use of new approaches and methods, but also for the addition of fundamental variables linked to the corn market. This paper compares the accuracy of different usual models in financial macro-econometric literature for the period between 1995 and 2017. The main contribution lies in the use of transition regime models, which accommodate structural breaks and perform better for corn price forecasting. The results point out that the best models as those which consider not only the corn market structure, or macroeconomic and financial fundamentals, but also the non-linear trend and transition regimes, such as threshold autoregressive models.

Publisher

FapUNIFESP (SciELO)

Subject

Economics and Econometrics,General Social Sciences,Agronomy and Crop Science,Forestry

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