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Registros recuperados: 9
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AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICY UNDER ERROR-TERM NON-NORMALITY AgEcon
Ramirez, Octavio A..
This paper explores the impact of error-term non-normality on the performance of the normal-error Generalized Autoregressive Conditional Heteroskedastic (GARCH) model under small and moderate sample sizes. A non-normal-, asymmetric-error GARCH model is proposed, and its finite-sample performance is evaluated in comparison to the normal-error GARCH under various underlying error-term distributions. The results suggest that one must be skeptical of using the normal-error GARCH when there is evidence of conditional error-term non-normality. The conditional distribution of the error-term in a previous mainstream application of the normal GARCH is found to be non-normal and asymmetric. The same application is used to illustrate the advantages of the proposed...
Tipo: Conference Paper or Presentation Palavras-chave: Error- term non-normality; Skewness; Autoregressive conditional heteroskedasticity; Research Methods/ Statistical Methods.
Ano: 2001 URL: http://purl.umn.edu/20595
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ESTIMATION OF EFFICIENT REGRESSION MODELS FOR APPLIED AGRICULTURAL ECONOMICS RESEARCH AgEcon
Ramirez, Octavio A.; Misra, Sukant K.; Nelson, Jeannie.
This paper proposes and explores the use of a partially adaptive estimation technique to improve the reliability of the inferences made from multiple regression models when the dependent variable is not normally distributed. The relevance of this technique for agricultural economics research is evaluated through Monte Carlo simulation and two mainstream applications: A time-series analysis of agricultural commodity prices and an empirical model of the West Texas cotton basis. It is concluded that, given non-normality, this technique can substantially reduce the magnitude of the standard errors of the slope parameter estimators in relation to OLS, GLS and other least squares based estimation procedures, in practice, allowing for more precise inferences...
Tipo: Conference Paper or Presentation Palavras-chave: Efficient regression models; Partially adaptive estimation; Non-normality; Skewness; Heteroskedasticity; Autocorrelation.; Research Methods/ Statistical Methods.
Ano: 2002 URL: http://purl.umn.edu/19904
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Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models AgEcon
Ramirez, Octavio A.; Fadiga, Mohamadou L..
The performance of a proposed asymmetric-error GARCH model is evaluated in comparison to the normal-error- and Student-t-GARCH models through three applications involving forecasts of U.S. soybean, sorghum, and wheat prices. The applications illustrate the relative advantages of the proposed model specification when the error term is asymmetrically distributed, and provide improved probabilistic forecasts for the prices of these commodities.
Tipo: Journal Article Palavras-chave: GARCH; Nonnormality; Skewness; Time-series forecasting; U.S. commodity prices; Demand and Price Analysis.
Ano: 2003 URL: http://purl.umn.edu/30714
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ON ADAPTATION TO CLIMATE CHANGE AND RISK EXPOSURE IN THE NILE BASIN OF ETHIOPIA AgEcon
Di Falco, Salvatore; Veronesi, Marcella.
This study investigates the impact of climate change adaptation on farm households’ downside risk exposure (e.g., risk of crop failure) in the Nile Basin of Ethiopia. The analysis relies on a moment-based specification of the stochastic production function. We estimate a simultaneous equations model with endogenous switching to account for the heterogeneity in the decision to adapt or not, and for unobservable characteristics of farmers and their farm. We find that (i) climate change adaptation reduces downside risk exposure, i.e., farm households that implemented climate change adaptation strategies get benefits in terms of a decrease in the risk of crop failure; (ii) farm households that did not adapt would benefit the most in terms of reduction in...
Tipo: Conference Paper or Presentation Palavras-chave: Adaptation; Climate change; Endogenous switching; Ethiopia; Risk exposure; Stochastic production function; Skewness; Resource /Energy Economics and Policy; Risk and Uncertainty; D80; Q18; Q54.
Ano: 2011 URL: http://purl.umn.edu/115549
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Pricing Options on Commodity Futures: The Role of Weather and Storage AgEcon
Bozic, Marin; Fortenbery, T. Randall.
Options on agricultural futures are popular financial instruments used for agricultural price risk management and to speculate on future price movements. Poor performance of Black’s classical option pricing model has stimulated many researchers to introduce pricing models that are more consistent with observed option premiums. However, most models are motivated solely from the standpoint of the time series properties of futures prices and need for improvements in forecasting and hedging performance. In this paper we propose a novel arbitrage pricing model motivated from the economic theory of optimal storage, and consistent with implications of plant physiology on the importance of weather stress. We introduce a pricing model for options on futures based...
Tipo: Conference Paper or Presentation Palavras-chave: Arbitrage pricing model; Options on futures; Generalized lambda distribution; Theory of storage; Skewness; Agribusiness; Agricultural Finance; Crop Production/Industries; Financial Economics; Research Methods/ Statistical Methods; Risk and Uncertainty; G13; Q11; Q14.
Ano: 2011 URL: http://purl.umn.edu/103638
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Production Risk, Farmer Welfare, and Bt Corn in the Philippines AgEcon
Sanglestsawai, Santi; Rejesus, Roderick M.; Yorobe, Jose M., Jr..
This article examines the production risk effects and welfare implications of Bt corn adoption in the Philippines by specifically considering the impact of Bt on the mean, variance, and skewness of yields. Assessing the skewness effects of Bt provides further inferences about the downside risk protection of this technology in a developing country context. Stochastic production function estimation is utilized to achieve the study objective, including an approach that allows for examining the skewness effects of Bt within a damage abatement specification. Our results indicate that Bt corn do not have a statistically significant risk-reducing (i.e., variance-reducing) or downside risk-reducing (i.e., skewness-increasing) effect, the main benefit is through...
Tipo: Presentation Palavras-chave: Bt corn; Damage Abatement; GM crop; Production Risk; Downside risk; Skewness; Stochastic Production Function; Risk and Uncertainty; Q12; Q1.
Ano: 2012 URL: http://purl.umn.edu/124237
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Risk premiums and GM traits AgEcon
Nolan, Elizabeth; Santos, Paulo.
An argument in favor of the development of genetically modified (GM) hybrids is that their presence is considered to be risk decreasing. On this basis, insurance premiums for corn growers in the United States who plant approved hybrids have been reduced. In this study we investigate, using a large dataset of experimental data compiled from reports of results from experimental field trials of corn hybrids by the State Agricultural Extension Services of ten universities over 20 years, whether the presence in a corn hybrid of a GM trait, or a combination of these traits, is likely to increase or decrease risk. The effects of input use on production uncertainty can be quantified through the specification and estimation of heteroskedastic production functions...
Tipo: Conference Paper or Presentation Palavras-chave: Production functions; Yield; Risk; Skewness; Corn; Genetically modified traits; Crop Production/Industries; Risk and Uncertainty; C2; Q12; Q16.
Ano: 2011 URL: http://purl.umn.edu/103692
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Speaking Stata: Graphing distributions AgEcon
Cox, Nicholas J..
Graphing univariate distributions is central to both statistical graphics, in general, and Stata’s graphics, in particular. Now that Stata 8 is out, a review of official and user-written commands is timely. The emphasis here is on going beyond what is obviously and readily available, with pointers to minor and major trickery and various user-written commands. For plotting histogram-like displays, kernel-density estimates and plots based on distribution functions or quantile functions, a large variety of choices is now available to the researcher.
Tipo: Journal Article Palavras-chave: Graphics; Histogram; Spikeplot; Dotplot; Onewayplot; Kdensity; Distplot; Qplot; Skewplot; Bin width; Rug; Density function; Kernel estimation; Transformations; Logarithmic scale; Root scale; Intensity function; Distribution function; Quantile function; Skewness; Research Methods/ Statistical Methods.
Ano: 2004 URL: http://purl.umn.edu/116213
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The Law of the Minimum and Sources of Nonzero Skewness for Crop Yield Distributions AgEcon
Tumusiime, Emmanuel; Brorsen, B. Wade; Boyer, Christopher N..
Crop yields are not commonly found to be normally distributed, but the cause of the non-normal distribution is unclear. The non-normality might be due to weather variables and/or an underlying von Liebig law of the minimum (LoM) production function. Our objective is to determine the degree to which an underlying linear response stochastic plateau production function can explain the skewness of Oklahoma wheat yields at varied nitrogen rates. We use farm-level wheat data from a long-term experiment in Oklahoma, which is a unique data set to the literature. The Tembo et al. (2008) production function provides negative skewness at all levels of nitrogen with skewness near zero for both very high and very low levels of nitrogen. Observed skewness for wheat...
Tipo: Conference Paper or Presentation Palavras-chave: Linear plateau model; Non-normal distributions; Skewness; Wheat; Yield distribution; Production Economics; Risk and Uncertainty; Q10.
Ano: 2011 URL: http://purl.umn.edu/98820
Registros recuperados: 9
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