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	Provedor de dados AgEcon (2) Autor Du, Xiaodong (1) Kim, Man-Keun (1) Lee, Andrew C. (1) McPhail, Lihong Lu (1) Palavra-chave Research Methods/ Statistical Methods (2) Structural break (2) Agricultural and Food Policy (1) C32 (1) Captive supply (1) Corn (1) Demand and Price Analysis (1) Ethanol (1) Flexible least squares (1) GARCH (1) Gasoline (1) Q11 (1) Q4 (1) Resource /Energy Economics and Policy (1) Structural VAR (1) Time varying coefficient (1) Mais... Tipo do documento Conference Paper or Presentation (2) Ano 2011 (1) 2005 (1) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última Inside the Black Box: Price Linkage and Transmission Between Energy and Agricultural Markets AgEcon Du, Xiaodong; McPhail, Lihong Lu. This study addresses the complex relationship between energy and agricultural markets—represented by corn, ethanol, and gasoline prices—particularly in light of the growth in biofuel production. Contemporaneous price response and transmission of market shocks are investigated in a simultaneous-equation system to disclose fundamental driving forces before and after the development of large-scale ethanol production. We use a dynamic conditional correlation multivariate GARCH model to demonstrate a strengthening relationship among corn, ethanol, and gasoline prices. We identify a structural change point at March 25, 2008 using the test by Bai and Perron (2003). The strengthened market relationship is further illustrated by variance decomposition based on a... Tipo: Conference Paper or Presentation Palavras-chave: Corn; Ethanol; Gasoline; Structural break; Structural VAR; GARCH; Agricultural and Food Policy; Demand and Price Analysis; Research Methods/ Statistical Methods; Resource /Energy Economics and Policy; C32; Q11; Q4. Ano: 2011 URL: http://purl.umn.edu/103268 Time Varying Coefficient: An Application of Flexible Least Squares to Cattle Captive Supply AgEcon Kim, Man-Keun; Lee, Andrew C.. Although conventional linear regression techniques assume time constancy of parameters time varying coefficient or the problem of structural instability in econometric relationships has been recognized by econometricians. In this study, time varying impact of captive supply on fed cattle cash market price is investigated via flexible least squares approach. Time path of flexible least squares coefficient estimate indicates an approximately four fold increase in price impact of captive supply over the sample period, but even this multiplied price impact is small compared to the effect of boxed beef price which shows negligible time variation. The time path also aids in identification of structural breaks in the price impact of captive supply. Tipo: Conference Paper or Presentation Palavras-chave: Time varying coefficient; Flexible least squares; Structural break; Captive supply; Research Methods/ Statistical Methods. Ano: 2005 URL: http://purl.umn.edu/19124 Registros recuperados: 2 Primeira ... 1 ... Última

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