The traditional necessary condition for futures market inefficiency is the existence of alternative forecasting methods that produce mean squared forecast errors smaller than the futures market. Here, a more exacting requirement for futures market efficiency is proposed - forecast encompassing....

A battery of time series methods are compared for forecasting basis levels in the soybean futures complex: soybeans, soybean meal, and soybean oil. Specifically, nearby basis forecasts are generated with exponential smoothing techniques, autoregression moving average (ARMA), and vector...