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| Wang, Dabin; Tomek, William G.. |
| Descriptive statistics and time-series econometric models are used to characterize the behavior of monthly fluid milk prices. Prices in April, May and June appear to be more variable than those in subsequent months, and the spring-time prices are perhaps skewed. Econometric models can capture the historical behavior of spot prices, but forecasts converge to the marginal distribution of the sample prices in about six months. Futures prices for Class III milk have the expected time-to-maturity effect and converge to the respective monthly distributions of the cash prices at contract maturity (as they must, since the contracts are cash settled). Thus, econometric models and futures quotes provide similar information about price behavior at contract... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Hedging; Marketing strategies; Milk futures; Milk prices; Risk management; Risk and Uncertainty. |
| Ano: 2005 |
URL: http://purl.umn.edu/19322 |
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| Wang, Dabin; Tomek, William G.. |
| Endogenous variables in structural models of agricultural commodity markets are typically treated as stationary. Yet, tests for unit roots have rather frequently implied that commodity prices are not stationary. This seeming inconsistency is investigated by focusing on alternative specifications of unit root tests. We apply various specifications to Illinois farm prices of corn, soybeans, barrows and gilts, and milk for the 1960 through 2002 time span. The preponderance of the evidence suggests that nominal prices do not have unit roots, but under certain specifications, the null hypothesis of a unit root cannot be rejected, particularly when the logarithms of prices are used. If the test specification does not account for a structural change that... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Research Methods/ Statistical Methods. |
| Ano: 2004 |
URL: http://purl.umn.edu/20141 |
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| Hong, Yongmiao; Wang, Dabin; Zhang, Xiaobo. |
| In the paper, we use a panel data approach to study the threshold effects and nonlinearity in economic growth instead of the cross-sectional approach commonly used in previous studies. The methodologies developed by Hansen (2000) and Caner and Hansen (2004) are applied to identify threshold variables. The analysis reveals many threshold variables, in particular for short lengths of panels. However, the results vary according to the number of observations included. To reduce the large number of potential threshold variables, principle component analyses are used to create a smaller number of composite factors and test the threshold effects. Using a five-year panel, we show how to classify countries into different growth typologies. Finally, a local linear... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Research Methods/ Statistical Methods. |
| Ano: 2005 |
URL: http://purl.umn.edu/19163 |
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| Wang, Dabin; Tomek, William G.. |
| Endogenous variables in structural models of agricultural commodity markets are typically treated as stationary. Yet, tests for unit roots have rather frequently implied that commodity prices are not stationary. This seeming inconsistency is investigated by focusing on alternative specifications of unit root tests. We apply various specifications to Illinois farm prices of corn, soybeans, barrows and gilts, and milk for the 1960 through 2002 time span. The preponderance of the evidence suggests that nominal prices do not have unit roots, but under certain specifications, the null hypothesis of a unit root cannot be rejected, particularly when the logarithms of prices are used. If the test specification does not account for a structural change that shifts... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/19032 |
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