| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
Analysis of Multiple Structural Breaks in Relative Farm Prices in the United States, 1913-2003
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| Autores: |
Jin, Hyun Joung
Miljkovic, Dragan
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| Data: |
2005-05-13
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| Ano: |
2005
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| Palavras-chave: |
Farm Prices
Other Commodity Prices
Multiple Structural Breaks
Research Methods/ Statistical Methods
Q11
C22
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| Resumo: |
We analyze the movement of farm prices relative to other commodity prices in the period 1913:1-2003:12, investigating the number and time of structural breaks and discussing likely causes of structural breaks in the relative farm prices. Bai and Perron's (1998, 2003) multiple structural change test with a dynamic programming algorithm is used. This test makes it possible to have an efficient computation of the estimates of the break points as global minimizers of the sum of squared residuals. We find 6 structural breaks when we consider only the mean process and 2 breaks when we consider the mean and autoregressive processes. Possible causes for these breaks are discussed.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
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| Identificador: |
16204
http://purl.umn.edu/19118
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| Editor: |
AgEcon Search
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| Relação: |
American Agricultural Economics Association>2005 Annual meeting, July 24-27, Providence, RI
Selected Paper 133711
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| Formato: |
27
application/pdf
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