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| Registros recuperados: 31 | |
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| Zapata, Hector O.; Maradiaga, David Isaias; Pujula, Aude Liliana; Dicks, Michael R.. |
| This study conducts an investigation on the application of classical unit-root tests using parametric tests (the augmented Dickey-Fuller, 1979 – ADF), and nonparametric tests (Phillips and Perron, 1988—PP) to corn and soybean yields in the Delta states using county-level data from 1961 to 2009. The main concern of the paper is to assess what would be drawn about nonstationarity in crop yields using these tests versus using modified versions of these tests (Ng and Perron, 2001) that are assumed to solve size and power problems associated with the ADF and PP tests. The investigation focuses on methodological aspects of the classical tests, uncovers the nature of filtered yields often needed prior to density estimation, sheds light on the effect of lag... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop yields; Nonstationarity; Unit-roots; Density estimation; Production Economics; Research Methods/ Statistical Methods; Risk and Uncertainty. |
| Ano: 2011 |
URL: http://purl.umn.edu/103871 |
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| Fortenbery, T. Randall; Zapata, Hector O.. |
| This paper examines the relationship between New York coffee futures and cash export prices in Guatemala and Honduras . Cointegration tests suggest that the futures market is serving its price discovery function, and provides a vehicle by which to manage the domestic price risk in export countries. However, further analysis finds that as the percent of speculative open interest increases in the coffee futures market, price volatility increases. This suggests that cash market price risk in exporting countries may actually increase as a result of futures trading activity in developed country futures exchanges. |
| Tipo: Working or Discussion Paper |
Palavras-chave: International Relations/Trade. |
| Ano: 2004 |
URL: http://purl.umn.edu/12592 |
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| Susanto, Dwi; Zapata, Hector O.; Cramer, Gail L.. |
| Standard bootstrap method is used to generate confidence intervals (CIs) of impulse response functions of VAR and SVAR models in the pork sector. In the VAR model, the bootstrap method does not produce significant different results from Monte Carlo simulations. In the SVAR analysis, on the other hand, the bootstrap CIs are significantly different from Monte Carlo CIs after a six period forecast intervals. This suggests that the choice of method used to measure reliability of IRFs is not trivial. Furthermore, bootstrap CIs in SVAR model seem to be more stable than MC CIs, which tend to be wider in the longer horizons. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Research Methods/ Statistical Methods. |
| Ano: 2004 |
URL: http://purl.umn.edu/20051 |
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| Kazmierczak, Richard F., Jr.; Zapata, Hector O.; Diop, Hamady. |
| Octopus exports are an important source of foreign exchange for Mauritania. The export market has historically been dominated by coordinated Japanese buyers, a situation that led Mauritania to create the Societe Mauritanienne de Commercialisation de Poisson (SMCP) to negotiate with buyers and manage all octopus exports. Issues concerning competitiveness, price discrimination, and exchange rate pass-through in the Mauritanian octopus export market corrected for contemporaneous and serial correlation. Results indicate some degree of price discrimination across destination markets, market share enhancement through local currency price stabilization, and increases in marginal costs of production following nationalization of the Mauritanian trawler fleet. Thus,... |
| Tipo: Journal Article |
Palavras-chave: International trade; Exchange rates; Imperfect competition; Octopus fisheries; Agribusiness; Demand and Price Analysis; International Relations/Trade. |
| Ano: 1997 |
URL: http://purl.umn.edu/90407 |
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| Zapata, Hector O.; Hudson, Michael A.; Garcia, Philip. |
| A Monte Carlo investigation is used to examine the performance of two commonly used tests for Granger causality for univariate and bivariate nonstationary ARMA (p,q) processes. Tests are applied to raw data, first differences of the raw data, and detrended versions of the series. The results indicate that for independent series the tests are robust regardless of sample size. With bivariate series and nonstationarity, the tests results are sensitive to the ARMA specification, whether the data are filtered and the type of filter used, and the sample size. |
| Tipo: Journal Article |
Palavras-chave: Research Methods/ Statistical Methods. |
| Ano: 1988 |
URL: http://purl.umn.edu/32108 |
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| Zapata, Hector O.; Fortenbery, T. Randall. |
| The temporal relationship between Chicago corn and soybean cash prices, nearby futures prices, and interest rates is examined using daily 1980-1989 data. Johansen cointegration tests suggest joint movement of the three series over the data period considered. In addition, analyses of individual crop years, which is consistent with previous work, shows co-movement between cash, futures, and interest rates in years when bivariate cointegration between cash and futures prices was not found. The results provide initial empirical evidence that a potential limitation of previous research in the study of cash- futures simple efficiency has been the exclusion of the interest rate as a common stochastic factor explaining equilibrium in models of cash and futures... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Demand and Price Analysis. |
| Ano: 1995 |
URL: http://purl.umn.edu/12637 |
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| Registros recuperados: 31 | |
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