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Registros recuperados: 33
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Discounting the Distant Future: How Much Do Uncertain Rates Increase Valuations? 31
Newell, Richard G.; Pizer, William A..
Costs and benefits in the distant future-such as those associated with global warming, long-lived infrastructure, hazardous and radioactive waste, and biodiversity-often have little value today when measured with conventional discount rates. We demonstrate that when the future path of this conventional rate is uncertain and persistent (i.e., highly correlated over time), the distant future should be discounted at lower rates than suggested by the current rate. We then use two centuries of data on U.S. interest rates to quantify this effect. Using both random walk and mean-reverting models, we compute the certainty-equivalent rate that is, the single discount rate that summarizes the effect of uncertainty and measures the appropriate forward rate of...
Tipo: Working or Discussion Paper Palavras-chave: Discounting; Uncertainty; Interest rate forecasting; Climate policy; Intergenerational equity; Risk and Uncertainty; D90; E47; C53; H43; Q28.
Ano: 2001 URL: http://purl.umn.edu/10743
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Oil Price Forecast Evaluation with Flexible Loss Functions 31
Bastianin, Andrea; Manera, Matteo; Markandya, Anil; Scarpa, Elisa.
The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several alternative econometric specifications proposed in the literature to capture the dynamics of oil prices. Second, we analyse the effects of different data frequencies on the coefficient estimates and forecasts obtained using each selected econometric specification. Third, we compare different models at different data frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static forecasts, as well as...
Tipo: Working Paper Palavras-chave: Oil Price; WTI Spot and Futures Prices; Forecasting; Econometric Models; Research and Development/Tech Change/Emerging Technologies; C52; C53; Q32; Q43.
Ano: 2011 URL: http://purl.umn.edu/120042
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Modeling Advertising Expenditures and Spillover Effects Applied to the U.S. Non-Alcoholic Beverage Industry: Vector Autoregression (VAR) and Polynomial Distributed Lag (PDL) Approaches 31
Dharmasena, Senarath; Capps, Oral, Jr.; Bessler, David A..
The non-alcoholic beverage market in the U.S. is a multi-billion dollar industry growing steadily over the past decade. Also, non-alcoholic beverages are among the most heavily advertised food and beverage groups in the United States. Several studies pertaining to non-alcoholic beverages including the incorporation of advertising effects have been conducted, but most of these have centered attention on milk consumption. Some studies have considered demand interrelationships for several beverages including advertising effects in systems-wide analyses. In our analysis, we develop and employ a unique monthly time-series data set derived from Nielsen Homsescan panels for household purchases of non-alcoholic beverages over the period from January 1998 through...
Tipo: Presentation Palavras-chave: Non-alcoholic beverages; Vector autoregression; Polynomial distributed lags; Beverage advertizing; Directed acyclic graphs; Agricultural and Food Policy; Consumer/Household Economics; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Marketing; C18; C22; C52; C53; C81; D11; D12.
Ano: 2012 URL: http://purl.umn.edu/124363
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Alternative Model Selection Using Forecast Error Variance Decompositions in Wholesale Chicken Markets 31
McKenzie, Andrew M.; Goodwin, Harold L., Jr.; Carreira, Rita I..
Although Vector Autoregressive models are commonly used to forecast prices, specification of these models remains an issue. Questions that arise include choice of variables and lag length. This article examines the use of Forecast Error Variance Decompositions to guide the econometrician’s model specification. Forecasting performance of Variance Autoregressive models, generated from Forecast Error Variance Decompositions, is analyzed within wholesale chicken markets. Results show that the Forecast Error Variance Decomposition approach has the potential to provide superior model selections to traditional Granger Causality tests.
Tipo: Journal Article Palavras-chave: Broiler markets; DAGs; Forecasting; Market structure; VAR; Agribusiness; Demand and Price Analysis; Livestock Production/Industries; Risk and Uncertainty; C53; D4; L1; Q00.
Ano: 2009 URL: http://purl.umn.edu/48750
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Rationality of U.S. Department of Agriculture Livestock Price Forecasts: A Unified Approach 31
Sanders, Dwight R.; Manfredo, Mark R..
This research presents a systematic and unified approach to evaluating forecast rationality that considers the potential of nonstationarity in forecasts and realized values. The approach is applied to one-quarter ahead U.S. Department of Agriculture livestock price forecasts from 1982 through 2004. Results show that forecasts and realized prices are integrated of the same order, and those that are nonstationary are cointegrated. However, the stationary price forecasts for hogs, turkeys, eggs, and milk are biased and improperly scaled, and forecast errors tend to be repeated. Similarly, nonstationary forecasts for cattle and broilers are also biased and irrational in the long run, but short-run dynamics are rational.
Tipo: Journal Article Palavras-chave: Forecast evaluation; Livestock prices; Rationality; Livestock Production/Industries; C53; Q13.
Ano: 2007 URL: http://purl.umn.edu/6658
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Forecasting the Path of China's CO2 Emissions: Offsetting Kyoto - and Then Some 31
Auffhammer, Maximilian; Carson, Richard T..
Our results suggest that the anticipated path of China's Carbon Dioxide (CO2) emissions has dramatically increased over the last five years. The magnitude of the projected increase in Chinese emissions out to 2015 is several times larger than reductions embodied in the Kyoto Protocol. Our estimates are based on a unique provincial level panel data set from the Chinese Environmental Protection Agency. This dataset contains considerably more information relevant to the path of likely Chinese greenhouse gas emissions than national level time series models currently in use. Model selection criteria clearly reject the popular static environmental Kuznets curve specification in favor of a class of dynamic models with spatial dependence.
Tipo: Working or Discussion Paper Palavras-chave: Forecasting; Climate Change; China; Model Selection; Environmental Economics and Policy; Q43; C53.
Ano: 2006 URL: http://purl.umn.edu/7197
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Impact of Fuel Price Increases on Texas Crops 31
Eggerman, Chris R.; McMahon, Sarah A.; Richardson, James W.; Outlaw, Joe L..
Replaced with revised version of paper 02/02/06.
Tipo: Conference Paper or Presentation Palavras-chave: Crop model; Simulation; Input-output model; Resource /Energy Economics and Policy; C53; Q10.
Ano: 2006 URL: http://purl.umn.edu/35303
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Preferences Erosion and Trade Costs in the Sugar Market: The Impact of the Everything but Arms Initiative and the Reform of the EU Policy 31
Conforti, Piero; Rapsomanikis, George.
The changes recently introduced in the EU Common Market Organization for sugar will interact with preferential imports from developing countries and least developed countries that enjoy preferential treatment for exports to the EU, as well as by trade and adjustment costs. This paper focuses on the impact of the EU Commission’s sugar policy reform and the Everything But Arms initiative on the African, Caribbean and Pacific countries and the Least Developed Countries. Simulations are run with an empirical model structure comprising a partial equilibrium model for the world sugar market and a gravity model to replicate least developed countries bilateral trade with Europe. Particularly, the gravity approach is employed to model the abolition of import...
Tipo: Conference Paper or Presentation Palavras-chave: EBA; Sugar; Gravity; Trade; C53; International Relations/Trade; Q18; C23.
Ano: 2006 URL: http://purl.umn.edu/25641
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IMPACT ANALYSIS OF FOOD POLICY RESPONSE ON HOUSEHOLD FOOD SECURITY: THE CASE OF SOUTH AFRICA’S MAIZE SUBSECTOR 31
Vermeulen, Hester; Ndibongo Traub, Lulama; Meyer, Ferdinand H..
This study quantifies the possible income and nutritional impact of the recent commitment by the South African Department of Agriculture to increase budgetary spending on agricultural development. Three levels of models are utilized. The first, a large-scale partial equilibrium model, generated an outlook for maize grain under two possible future scenarios; the first is the baseline scenario under which it is assumed no additional government investment in the agricultural sector takes place, the second allows for the impact of an investment within the maize subsector large enough to increase local maize production by 15% above the baseline. The second model, a rational distributed lag model, links the grain sector to the maize meal down-stream market....
Tipo: Conference Paper or Presentation Palavras-chave: Partial Equilibrium Model; Vertical Price Transmission; Household Food Security.; Agricultural and Food Policy; Consumer/Household Economics; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Food Security and Poverty; Marketing; C22; C32; C53; D1; Q11; Q18.
Ano: 2009 URL: http://purl.umn.edu/51396
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The Rationality of EIA Forecasts under Symmetric and Asymmetric Loss 31
Auffhammer, Maximilian.
The United States Energy Information Administration publishes annual forecasts of nationally aggregated energy consumption, production, prices, intensity and GDP. These government issued forecasts often serve as reference cases in the calibration of simulation and econometric models, which climate and energy policy are based on. This study tests for rationality of published EIA forecasts under symmetric and asymmetric loss. We find strong empirical evidence of asymmetric loss for oil, coal and gas prices as well as natural gas consumption, GDP and energy intensity.
Tipo: Working or Discussion Paper Palavras-chave: Forecasting; Asymmetric loss; Energy intensity; Energy Information Administration; Resource /Energy Economics and Policy; Q43; C53.
Ano: 2005 URL: http://purl.umn.edu/25017
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Forecasting Housing Prices under Different Submarket Assumptions 31
Chen, Zhuo; Cho, Seong-Hoon; Poudyal, Neelam C.; Roberts, Roland K..
This research evaluated forecasting accuracy of hedonic price models based on a number of different submarket assumptions. Using home sale data for the City of Knoxville and vicinities merged with geographic information, we found that forecasting housing prices with submarkets defined using expert knowledge and by school district and combining information conveyed in different modeling strategies are more accurate and efficient than models that are spatially aggregated, or with submarkets defined by statistical clustering techniques. This finding provided useful implications for housing price prediction in an urban setting and surrounding areas in that forecasting models based on expert knowledge of market structure or public school quality and simple...
Tipo: Conference Paper or Presentation Palavras-chave: Clustering; Forecasting; Hedonic price; Housing Submarket; Demand and Price Analysis; C53; R21.
Ano: 2007 URL: http://purl.umn.edu/9689
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On- and Off-Farm Labour Supply of Dutch Dairy Farmers: Estimation and Policy Simulations 31
Ooms, Daan L.; Hall, Alastair R..
This research focuses on the effect of decoupled payments on labour supply of Dutch dairy farmers. Data availability leads to the fact that we can not estimate structural labour supply equations. We show how to derive reduced form equations suitable for policy simulations. We use the panel data sample selection estimation approach Wooldridge (1995) to estimate the off-farm labour supply equation. This method is based on Mundlak's (1978) linear panel data estimation approach, which we use to estimate the on-farm labour supply equations. Even though, simulations show a significant negative effect of decoupled payments on labour supply, the economic significance of this effect is very limited.
Tipo: Conference Paper or Presentation Palavras-chave: Decoupled payments; Labour supply; Panel data; Sample selection; Policy simulation; Labor and Human Capital; Livestock Production/Industries; C23; C24; C51; C53; D13; J22; Q12; Q18.
Ano: 2005 URL: http://purl.umn.edu/24506
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House Price Prediction: Hedonic Price Model vs. Artificial Neural Network 31
Limsombunchai, Visit.
The objective of this paper is to empirically compare the predictive power of the hedonic model with an artificial neural network model on house price prediction. A sample of 200 houses in Christchurch, New Zealand is randomly selected from the Harcourt website. Factors including house size, house age, house type, number of bedrooms, number of bathrooms, number of garages, amenities around the house and geographical location are considered. Empirical results support the potential of artificial neural network on house price prediction, although previous studies have commented on its black box nature and achieved different conclusions.
Tipo: Conference Paper or Presentation Palavras-chave: Hedonic Model; Artificial Neural Network (ANN); House Price.; Environmental Economics and Policy; Land Economics/Use; Research Methods/ Statistical Methods; C53; L74.
Ano: 2004 URL: http://purl.umn.edu/97781
Registros recuperados: 33
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