Multiple horizons and information in USDA production forecasts

United States Department of Agriculture (USDA) livestock production forecasts are evaluated for their information content across multiple forecast horizons using the direct test developed by Vuchelen and Gutierrez (2005). Forecasts are explicitly tested for rationality (unbiased and efficient) as well as for incremental information out to three-quarters ahead. The results suggest that although the forecasts are often not rational, they typically do provide the forecast user with unique information at each horizon. Turkey and milk production forecasts are found to provide the most consistent performance, while beef production forecasts provide little information beyond the two-quarter horizon.