Deseasonalized Sate-Space Time Series Forecasting with Application to the US Salmon Market

• Main Authors: Gu, Guang, Anderson, James L.
• Format: Article in Journal/Newspaper
• Language: English
• Published: 1995
• Subjects: price forecasting; salmon market; seasonality; state-space; time series analysis; Demand and Price Analysis; Environmental Economics and Policy; International Relations/Trade; Resource /Energy Economics and Policy; Sockeye; Atlantic salmon
• Online Access: http://purl.umn.edu/49030

An approach that combines seasonality removal with a multivariate, state-space, time series forecasting model is developed to provide shortrun forecasts for the US salmon market. Time series included in the model are: US fresh Atlantic salmon wholesale price index; fresh salmon (Atlantic, coho and Chinook) monthly US import quantities and prices; and US chum and sockeye salmon monthly export prices. Four versions of the state-space forecasting model are compared in terms of their statistical performance during out-of-sample forecasts. Out-of-sample 3-, 6- and 12-month ahead directional predictions are generated to test the models' performance in terms of direction. Under identical modeling conditions, out-of-sample statistical and directional tests indicate that deseasonalization improves the overall performance of the state-space model. As a result, a linear, deseasonalized, state-space forecasting model is selected to provide twelve monthly out-of-sample forecasts for all series.