Time Series Forecasting Models of Lumber Cash, Futures, and Basis Prices
Authors: Oliveira, Ronald A.; Buongiorno, Joseph; Kmiotek, Alice M.
Source: Forest Science, Volume 23, Number 2, 1 June 1977 , pp. 268-280(13)
Publisher: Society of American Foresters
Abstract:This paper reports on the development of autoregressive-integrated-moving-average (ARIMA) forecasting models for (i) various lumber cash prices, (ii) the lumber futures prices, and (iii) the basis series for the lumber cash prices. The ARIMA models are fitted to weekly data by employing Box-Jenkins (1970) time series modeling procedure. Relatively accurate shortrun forecasts are obtained with the cash and futures price series models; however, the utility of the basis series models appears dubious. Forest Sci. 23:268-280.
Document Type: Journal Article
Affiliations: Graduate Student, School of Business, University of Wisconsin-Madison
Publication date: June 1, 1977
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