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| Registros recuperados: 35 | |
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| Rahman, Shaikh Mahfuzur; Dorfman, Jeffrey H.; Turner, Steven C.. |
| Cottonseed crushers face substantial risk in terms of input and output price variability and they are limited in their planning by the lack of a viable futures contract for cottonseed or cottonseed products. This study examines the feasibility of cross-hedging cottonseed products using the soybean complex futures. Different cross-hedging strategies are evaluated for eight time horizons relative to the expected profit and utility of the crusher. A Bayesian approach is employed to estimate both model parameters and optimal hedge ratios, allowing consistency with expected utility maximization in the presence of estimation risk. The results reveal that both whole cottonseed and cottonseed products can be successfully cross-hedged using soybean complex futures.... |
| Tipo: Journal Article |
Palavras-chave: Bayesian decision science; Cottonseed; Cross-hedging; Risk management; Crop Production/Industries. |
| Ano: 2004 |
URL: http://purl.umn.edu/31114 |
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| Rahman, Shaikh Mahfuzur; Dorfman, Jeffrey H.; Turner, Steven C.. |
| Cottonseed crushers face substantial risk in terms of input and output price variability and they are limited in their planning by the lack of viable futures markets for cottonseed or cottonseed products. This study examines the feasibility of cross-hedging cottonseed products using soybean complex futures. Bayesian tests for market efficiency are performed on the cash and futures prices. The test results reject the presence of nonstationary roots, leading to the conclusion that the markets are not efficient. Different cross-hedging strategies are designed and analyzed for eight different hedging horizons in order to maximize the expected profit and utility of the crusher. A Bayesian approach is employed to estimate the parameters, which is consistent with... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2002 |
URL: http://purl.umn.edu/19708 |
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| Tokovenko, Oleksiy; Dorfman, Jeffrey H.; Gunter, Lewell F.. |
| The paper presents a spatio-temporal statistical model of agricultural yield prediction based on spatial mixtures of distributions. The proposed method combines several hierarchical and sequential Bayesian estimation procedures that allow the general problem to be addressed with a series of simpler tasks, providing the required flexibility of the model while decreasing the complexity associated with the large dimensionality of the spatial data sets. The data used for the study are 1970 - 2009 annual Iowa state county level corn yield data. The spatial correlation hypothesis is studied by comparing the alternative models using the posterior predictive criterion under squared loss function. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Farm Management. |
| Ano: 2010 |
URL: http://purl.umn.edu/61673 |
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| Smith, Anna Rickett; Dorfman, Jeffrey H.. |
| The purpose of this study was to utilize the economic surplus framework for evaluating the impact of investment in agricultural research. The economic impact measures used in this study were the total benefits and distribution of those benefits associated with investment in agricultural research. These results were used to calculate an internal rate of return on the investments. The focus of the research was on cotton and peanuts in the Southeast region of the United States. Two equations were estimated to determine the impacts of the money being spent on the research efforts of these two commodities. The results revealed positive benefits to consumers and producers exceeded the investment amount in each year for both commodities in the period. The... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Research and Development/Tech Change/Emerging Technologies. |
| Ano: 2002 |
URL: http://purl.umn.edu/19900 |
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| Atkinson, Scott E.; Dorfman, Jeffrey H.. |
| Econometric models to estimate allocative and technical inefficiency include stochastic shadow distance frontiers, shadow cost frontiers, and shadow profit frontiers. In these models, the cost savings from eliminating both sources of inefficiency is often reported in total and then decomposed into the contribution of each source. This paper shows that this calculation, as formalized in Kumbhakar (1997) and used extensively in empirical applications over the last 25 years, is non-unique without additional information that is typically not available. The same results are obtained for shadow profit and shadow distance systems. The decomposition of cost (profit) savings is underidentified, since it is conditional on the arbitrarily normalized value for... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Research Methods/ Statistical Methods. |
| Ano: 2006 |
URL: http://purl.umn.edu/21058 |
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| Purvis, Jack; Kramer, Elizabeth; Dorfman, Jeffrey H.. |
| In order to avoid costly data collection practices common in hedonic valuation of aesthetic amenities, easy-to-collect secondary County tax and geospatial data are used to derive estimates for spatial effects on residential land values. Three Georgia Counties were selected due to data availability: Clarke, Henry, and Richmond. All properties meeting panel-design criterion are included in analysis samples. Large datasets prompt the omission of traditional hedonic model variables such as property characteristics. The focus of analysis is directed toward Canopy and Impervious land-cover estimates. Focal means are calculated at different ranges for immediate and neighborhood-wide assessment of surrounding cover. Community variables designed to describe... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Land Economics/Use. |
| Ano: 2011 |
URL: http://purl.umn.edu/98872 |
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| Dorfman, Jeffrey H.; Karali, Berna. |
| Hedging is one of the most important risk management decisions that farmers make and has a potentially large role in the level of profit eventually earned from farming. Using panel data from a survey of Georgia farmers that recorded their hedging decisions for four years on three crops we examine the role of habit, demographics, farm characteristics, and information sources on the hedging decisions made by 106 different farmers. We find that the role of habit varies widely. Information sources are shown to have significant and large effects on the chosen hedge ratios. The farmer's education level, attitude toward technology adoption, farm profitability, and the ratio of acres owned to acres farmed also play important roles in hedging decisions. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Bayesian econometrics; Hedging decisions; Habit formation; Information sources; Agricultural Finance. |
| Ano: 2008 |
URL: http://purl.umn.edu/37596 |
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| Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N.. |
| We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via the smoothed Bayesian estimator of Karali, Dorfman, and Thurman (2010). We show that the futures price volatilities in these markets are affected by the inventories, time to delivery, and the crop progress period. Some of these effects vary across delivery horizons. Further, it is shown that the price volatility is higher before the harvest starts in most of the cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Bayesian econometrics; Futures markets; Seasonality; Theory of storage; Volatility; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Consumer/Household Economics; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty. |
| Ano: 2009 |
URL: http://purl.umn.edu/53036 |
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| Dorfman, Jeffrey H.; McIntosh, Christopher S.. |
| Forecasts of economic time series are often evaluated according to their accuracy as measured by either quantitative precision or qualitative reliability. We argue that consumers purchase forecasts for the potential utility gains from utilizing them, not for their accuracy. Using Monte Carlo techniques to incorporate the temporal heteroskedasticity inherent in asset returns, the expected utility of a set of qualitative forecasts is simulated for corn and soybean futures prices. Monetary values for forecasts of various reliability levels are derived. The method goes beyond statistical forecast evaluation, allowing individuals to incorporate their own utility function and trading system into valuing a set of asset price forecasts. |
| Tipo: Journal Article |
Palavras-chave: Commodity prices; Forecast evaluation; Value of information; Consumer/Household Economics. |
| Ano: 1997 |
URL: http://purl.umn.edu/15060 |
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| Dorfman, Jeffrey H.; Foster, Kenneth A.. |
| Technical progress in U.S. agriculture is evaluated using a new measure of productivity growth, flexible technical change. This measure allows for nonconstant returns to scale, market structures other than perfect competition, and time-varying coefficients. An integral part of the procedure is the estimation of the production function by Flexible Least Squares. Flexible technical change results are compared with two traditional measures of productivity growth and found to be more stable and more precise in a statistical sense. The results suggest that previous studies which employed total factor productivity measures may have overstated the impact of technology in agriculture. |
| Tipo: Journal Article |
Palavras-chave: Flexible least squares; Productivity; Technical change; Time-varying coefficients; Productivity Analysis. |
| Ano: 1991 |
URL: http://purl.umn.edu/32615 |
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| Sun, Henglun; Bergstrom, John C.; Dorfman, Jeffrey H.. |
| In this paper, a conceptual model for estimating option price for groundwater quality protection is developed, and the effets of subjective demand and supply uncertainty and other variables on option price are estimated. A contingent valuation study to measure option price for groundwater quality protection was conducted in southwestern Georgia. Valuation results suggest that the monetary benefits to citizens of protecting groundwater supplies from agricultural chemical contamination are quite large. |
| Tipo: Journal Article |
Palavras-chave: Environmental Economics and Policy. |
| Ano: 1992 |
URL: http://purl.umn.edu/29641 |
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| Bergstrom, John C.; Dorfman, Jeffrey H.; Loomis, John B.. |
| Recognition of the benefits to society supported by estuary ecosystem functions and services, and threats to these benefits posed by human activities, has led to various public programs to restore and protect estuaries and the federal, state and local levels. As available budgets shrink, program administrators and public elected officials struggle to allocate limited restoration and protection funds to the highest priority areas. Economic benefit and cost information can provide useful inputs into this decision-making process by quantifying estuary restoration and protection benefits and costs in commensurate terms. In this paper, a combined actual and intended travel behavior model is described that can be applied to estimate the recreational fishing... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Resource /Energy Economics and Policy. |
| Ano: 2003 |
URL: http://purl.umn.edu/16694 |
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| Dorfman, Jeffrey H.; Hill, Elizabeth; Kramer, Elizabeth. |
| Many communities are experiencing the negative effects associated with not sustaining a sufficient level of tree canopy coverage. Tree canopy plays a crucial role in the environment, providing benefits such as clean water and air, erosion prevention, climate control, and sustained ecological resources and native species habitat. Additionally, tree canopy plays an economic role by increasing housing values, alleviating expenditures related to erosion destruction, decreasing spending on sewer standards, increasing energy efficiency, and reducing medical costs related to health issues, such as asthma, that are associated with environmental degradation. To study how local government policies may be related to changes in tree canopy, an empirical study was... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Land Economics/Use. |
| Ano: 2007 |
URL: http://purl.umn.edu/9863 |
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| Atkinson, Scott E.; Dorfman, Jeffrey H.. |
| The estimation of allocative and technical inefficiency has grown to an enormous body of literature, both theoretical and empirical. Ideally, one would estimate time-varying firm and input-specific parameters describing allocative inefficiency in order to minimize aggregation bias. However, this has never been previously accomplished. Typically, only industry-wide allocative efficiency parameters have been empirically identified. Our proposed solution is to employ Gibbs sampling to approximate posterior distributions from a Bayesian limited information model, embedding GMM moment conditions imposed via an instrumental variables step to obtain plant-specific parameters estimates that vary flexibly over time. For a panel of Chilean hydroelectric power... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Research Methods/ Statistical Methods. |
| Ano: 2005 |
URL: http://purl.umn.edu/19402 |
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| Dorfman, Jeffrey H.; Sanders, Dwight R.. |
| Myers and Thompson (1989) noted that the model specification could have a large impact on the hedge ratio estimated. A huge literature exists on estimating hedge ratios, but the literature is lacking a formal treatment of model specification uncertainty. This research accomplishes that task by taking a Bayesian approach to hedge ratio estimation, where specification uncertainty is explicitly modeled. The methodology is applied to data on hedging of corn and soybeans and on cross-hedging of corn oil using soybean oil futures. Results show the potential benefits and insights gained from such an approach. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/19268 |
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| Dorfman, Jeffrey H.; Sanders, Dwight R.. |
| Myers and Thompson (1989) pioneered the concept of a generalized approach to estimating hedge ratios, pointing out that the model specification could have a large impact on the hedge ratio estimated. While a huge empirical literature exists on estimating hedge ratios, the literature is lacking a formal treatment of model specification uncertainty. This research accomplishes that task by taking a Bayesian approach to hedge ratio estimation, where specification uncertainty is explicitly modeled. Specifically, we present a Bayesian approach to hedge ratio estimation that integrates over model specification uncertainty, yielding an optimal hedge ratio estimator that is robust to possible model specification because it is an average across a set of hedge ratios... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/19024 |
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| Black, Dawn L.; Dorfman, Jeffrey H.. |
| Crop insurance is an area of federal agricultural policy that has been a source of continual calls for reform and improvement, yet there are a limited number of empirical studies examining farmers' insurance purchase decisions. As far as we are aware, this study is the first to utilize farm level data from the Southeastern U.S. We look at the farmer's decision to purchase or not purchase crop insurance using data from Georgia cotton and peanut farmers. We find that farmers appear to do a good job of weighing the benefits of crop insurance against alternative forms of self-insuring and risk-diversification. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Risk and Uncertainty. |
| Ano: 2000 |
URL: http://purl.umn.edu/21831 |
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| Registros recuperados: 35 | |
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