Empirical Confidence Intervals for WASDE
Forecasts of Corn, Soybean, and Wheat Prices
by
Olga Isengildina-Massa, Scott H. Irwin, and Darrel L. Good
Suggested citation format:
Isengildina-Massa, O., S.H. Irwin, and D.L. Good. “Empirical Confidence
Intervals for WASDE Forecasts of Corn, Soybean, and Wheat Prices."
Marketing and Outlook Research Report 2009-01, Department of
Agricultural and Consumer Economics, University of Illinois at Urbana-
Champaign, January 2009. [http://www.farmdoc.uiuc.edu/marketing/reports]
Empirical Confidence Intervals for WASDE Forecasts of Corn, Soybean, and Wheat Prices
by
Olga Isengildina-Massa, Scott H. Irwin, and Darrel L. Good*
January 2009
Marketing and Outlook Research Report 2009-01
* Olga Isengildina-Massa is an Assistant Professor in the Department of Applied Economics and Statistics at
Clemson University; Scott H. Irwin is the Laurence J. Norton Professor of Agricultural Marketing and Darrel L.
Good is a Professor in the Department of Agricultural and Consumer Economics at the University of Illinois at
Urbana-Champaign. The funding support of the U.S. Department of Agriculture under cooperative Agreement 43-
3AEK-5-80076 is gratefully acknowledged. Any opinions, findings, conclusions, or recommendations expressed in
this publication are those of the authors and do not necessarily reflect the view of the U.S. Department of
Agriculture.
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Empirical Confidence Intervals for WASDE Forecasts of Corn, Soybean, and Wheat Prices
Abstract
This study investigates empirical methods of generating prediction intervals for WASDE
forecasts of corn, soybean, and wheat prices over the 1980/81 through 2006/07 marketing years.
Empirical methods use historical forecast errors to estimate forecast error distributions, which
are then used to predict confidence limits of forecasts. Five procedures were used to estimate
empirical confidence limits, including histograms, kern