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A Flexible Parametric Family for the Modeling and Simulation of Yield Distributions AgEcon
Ramirez, Octavio A.; McDonald, Tanya U.; Carpio, Carlos E..
The distributions currently used to model and simulate crop yields are unable to accommodate a substantial subset of the theoretically feasible mean-variance-skewness-kurtosis (MVSK) hyperspace. Because these first four central moments are key determinants of shape, the available distributions might not be capable of adequately modeling all yield distributions that could be encountered in practice. This study introduces a system of distributions that can span the entire MVSK space and assesses its potential to serve as a more comprehensive parametric crop yield model, improving the breadth of distributional choices available to researchers and the likelihood of formulating proper parametric models.
Tipo: Journal Article Palavras-chave: Risk analysis; Parametric methods; Yield distributions; Yield modeling and simulation; Yield nonnormality; Agribusiness; Agricultural Finance; Crop Production/Industries; Land Economics/Use; Production Economics; Productivity Analysis; Research Methods/ Statistical Methods; C15; C16; C46; C63.
Ano: 2010 URL: http://purl.umn.edu/90675
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An Empirically-Grounded Comparison of the Johnson System versus the Beta as Crop Yield Distribution Models AgEcon
Ramirez, Octavio A.; McDonald, Tanya U..
Previous research established that the expanded Johnson system can accommodate any theoretically possible mean-variance-skewness-kurtosis combination. Therefore, it has been hypothesized that this system can provide for a reasonably accurate modeling approximation of any probability distribution that might be encountered in practice. In order to test that hypothesis, this manuscript develops a more flexible expanded form of the Beta distribution which, in its original form, has been widely used to model and simulate crop yields for risk analysis. Empirically grounded evaluations suggest that the Johnson system can model a variety of typical yield data-generating processes that are based on the Beta distribution much more precisely than the Beta can model...
Tipo: Conference Paper or Presentation Palavras-chave: Crop Production/Industries.
Ano: 2007 URL: http://purl.umn.edu/9814
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ARE CROP YIELDS NORMALLY DISTRIBUTED? AgEcon
Ramirez, Octavio A.; Misra, Sukant K.; Field, James E..
This paper revisits the issue of crop yield distributions using improved model specifications, estimation and testing procedures that address the methodological concerns raised in recent literature that could have invalidated previous conclusions of yield non-normality. It shows beyond reasonable doubt that some crop yield distributions are non-normal, kurtotic and right or left skewed, depending on the circumstances. A procedure to jointly estimate non-normal farm- and aggregate-level yield distributions with similar means but different variances is illustrated, and the consequences of incorrectly assuming yield normality are explored.
Tipo: Conference Paper or Presentation Palavras-chave: Yield non-normality; Probability distribution function models; Corn Belt yields; West Texas dryland cotton yields; Crop Production/Industries.
Ano: 2001 URL: http://purl.umn.edu/20695
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ASSESSING THE FINANCIAL RISKS OF DIVERSIFIED COFFEE PRODUCTION SYSTEMS: AN ALTERNATIVE NONNORMAL CDF ESTIMATION APPROACH AgEcon
Ramirez, Octavio A.; Sosa, Romeo.
Recently developed techniques are adapted and combined for the modeling and simulation of crop yields and prices that can be mutually correlated, exhibit heteroskedasticity or autocorrelation, and follow nonnormal probability density functions. The techniques are applied to the modeling and simulation of probability distribution functions for the returns of three tropical agroforestry systems for coffee production. The importance of using distribution functions that can more closely reflect the statistical behavior of yields and prices for risk analysis is discussed and illustrated.
Tipo: Journal Article Palavras-chave: Risk and Uncertainty.
Ano: 2000 URL: http://purl.umn.edu/30838
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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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Can Crop Insurance Premiums Be Reliably Estimated? AgEcon
Ramirez, Octavio A.; Carpio, Carlos E.; Rejesus, Roderick M..
This paper develops and applies a methodology to assess the accuracy of historical loss-cost rating procedures, similar to those used by the U.S. Department of Agriculture’s Risk Management Agency (RMA), versus alternative parametric premium estimation methods. It finds that the accuracy of loss-cost procedures leaves much to be desired, but can be markedly improved through the use of alternative methods and increased farm-level yield sample sizes. Evidence suggests that the high degree of inaccuracy in crop insurance premium estimations through historical loss-cost procedures identified in the paper might be a major factor behind the need for substantial government subsidies to keep the program solvent.
Tipo: Journal Article Palavras-chave: Agricultural subsidies; Crop insurance premium estimation; Loss-cost procedures; Risk Management Agency; Agricultural and Food Policy; Agricultural Finance; Farm Management; Risk and Uncertainty.
Ano: 2011 URL: http://purl.umn.edu/107091
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Can Crop Insurance Premiums be Reliably Estimated? AgEcon
Ramirez, Octavio A.; Carpio, Carlos E.; Rejesus, Roderick M..
The objective of this paper is to compare the accuracy of crop insurance rating methods based on historical liability and indemnity data (similar to the procedure currently used by the Risk Management Agency) and “yield distribution” approaches. Estimated rates are compared to “true” rates using empirically-grounded simulation procedures that take into account common data availability constraints. Simulation results suggest that farm and county level rate estimates using the “yield distribution” approach are significantly more accurate than those based on historical indemnity and liability records.
Tipo: Conference Paper or Presentation Palavras-chave: Crop insurance premiums; Non-normal distributions; Simulation methods; Agribusiness; Agricultural Finance; Risk and Uncertainty.
Ano: 2009 URL: http://purl.umn.edu/49465
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Conclusive Evidence on the Benefits of Temporal Disaggregation to Improve the Precision of Time Series Model Forecasts AgEcon
Ramirez, Octavio A..
Simulation methods are used to measure the expected differentials between the Mean Square Errors of the forecasts from models based on temporally disaggregated versus aggregated data. This allows for novel comparisons including long-order ARMA models, such as those expected with weekly data, under realistic conditions where the parameter values have to be estimated. The ambivalence of past empirical evidence on the benefits of disaggregation is addressed by analyzing four different economic time series for which relatively large sample sizes are available. Because of this, a sufficient number of predictions can be considered to obtain conclusive results from out-of-sample forecasting contests. The validity of the conventional method for inferring the order...
Tipo: Presentation Palavras-chave: Data Aggregation; Efficient Forecasting; Research Methods/ Statistical Methods.
Ano: 2012 URL: http://purl.umn.edu/123470
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Conclusive Evidence on the Benefits of Temporal Disaggregation to Improve the Precision of Time Series Model Forecasts AgEcon
Ramirez, Octavio A..
Simulation methods are used to measure the expected differentials between the Mean Square Errors of the forecasts from models based on temporally disaggregated versus aggregated data. This allows for novel comparisons including long-order ARMA models, such as those expected with weekly data, under realistic conditions where the parameter values have to be estimated. The ambivalence of past empirical evidence on the benefits of disaggregation is addressed by analyzing four different economic time series for which relatively large sample sizes are available. Because of this, a sufficient number of predictions can be considered to obtain conclusive results from out-of-sample forecasting contests. The validity of the conventional method for inferring the order...
Tipo: Report Palavras-chave: Data Aggregation; Efficient Forecasting; Research Methods/ Statistical Methods.
Ano: 2011 URL: http://purl.umn.edu/113520
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ECONOMIC VALUE OF THE CARBON SINK SERVICES OF TROPICAL SECONDARY FORESTS AND ITS MANAGEMENT IMPLICATIONS AgEcon
Ramirez, Octavio A.; Carpio, Carlos E.; Ortiz, Rosalba; Finnegan, Brian.
This paper explores the economic feasibility secondary forest regeneration and conservation as an alternative to help address global warming. Detailed measurements of tropical secondary forests through time, in different ecological zones of Costa Rica, are used for estimating carbon storage models. The paper addresses key issues in the international discussion about cross- and within-country compensation for carbon storage services and illustrates a method to compute/predict their economic value through time under a variety of scenarios. The procedure is applicable to other developing countries where secondary forest growth is increasingly important.
Tipo: Conference Paper or Presentation Palavras-chave: Tropical Forests; Carbon Sequestration; Global Warming; Activities Implemented Jointly.; Environmental Economics and Policy; Resource /Energy Economics and Policy; Q23; Q25; Q28..
Ano: 2000 URL: http://purl.umn.edu/21776
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EFFECTS OF QUALITY CONSIDERATIONS AND CLIMATE/WEATHER INFORMATION ON THE MANAGEMENT AND PROFITABILITY OF COTTON PRODUCTION IN THE TEXAS HIGH PLAINS AgEcon
Britt, Megan L.; Ramirez, Octavio A.; Carpio, Carlos E..
Production function models for cotton lint yields, seed yields, turnout, and lint quality characteristics are developed for the Texas High Plains. They are used to evaluate the impacts of quality considerations and of climate/weather information on the management decisions and on the profitability and risk of irrigated cotton production systems. It is concluded that both quality considerations and improved climatic/weather information could have substantial effects on expected profitability and risk. These effects mainly occur because of changes in optimal variety selection an irrigation water use levels. Quality considerations in particular result in significantly lower irrigation water use levels regardless of the climate/weather information...
Tipo: Journal Article Palavras-chave: Climatic/weather information; Cotton quality; Ground water resource use; Risk and uncertainty; Texas High Plains; Crop Production/Industries; D21; D24; D61; D81; D84.
Ano: 2002 URL: http://purl.umn.edu/15082
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Empirically Evaluating the Flexibility of the Johnson Family of Distributions: A Crop Insurance Application AgEcon
Lu, Yue; Ramirez, Octavio A.; Rejesus, Roderick M.; Knight, Thomas O.; Sherrick, Bruce J..
This article examines the flexibility of the Johnson system of distributions by assessing its per-formance in terms of modeling crop yields for the purpose of setting actuarially fair crop in-surance premiums. Using data from corn farms in Illinois coupled with Monte Carlo simula-tion procedures, we found that average crop insurance premiums computed on the basis of the Johnson system provide reasonably accurate estimates even when the data are normal or come from a non-normal distribution other than the Johnson system (i.e., a beta). These results sug-gest that there is potential for using the Johnson system to rate previously uninsured crops that do not have historical insurance performance data upon which to base premium calculations.
Tipo: Journal Article Palavras-chave: Crop insurance; Crop yield modeling; Johnson distribution; Premium rate setting; Risk and Uncertainty.
Ano: 2008 URL: http://purl.umn.edu/44740
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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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Evaluating Crop and Revenue Insurance Products as Risk Management Tools for Texas Cotton Producers AgEcon
Field, James E.; Misra, Sukant K.; Ramirez, Octavio A..
This paper develops and illustrates the application of a procedure to evaluate and compare the cost effectiveness of alternative crop insurance products for cotton in terms of their effect on expected producer net returns and the variation of net returns. Farm unit-level cotton yields and state-level price distributions are estimated by a multivariate nonnormal parametric modeling procedure and used to simulate the net returns to alternative crop insurance products over a 10-year planning horizon. The ranking of alternative insurance products using third-degree stochastic dominance is presented for Texas cotton producers.
Tipo: Journal Article Palavras-chave: Cotton; Crop insurance; Multivariate nonnormal parametric modeling; Stochastic dominance; C5; Q1.
Ano: 2003 URL: http://purl.umn.edu/37314
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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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HIGH PRICE VOLATILITY AND SPILLOVER EFFECTS IN ENERGY MARKETS AgEcon
Singh, Aaron; Karali, Berna; Ramirez, Octavio A..
Replaced with revised version of paper 07/22/11.
Tipo: Conference Paper or Presentation Palavras-chave: Asymmetric shocks; Energy markets; Oil; Spillover effects; Volatility; Marketing; Resource /Energy Economics and Policy; GARCH.
Ano: 2011 URL: http://purl.umn.edu/103593
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Improving Forecast Performance with Reduced Parameter, Large Order AR Models AgEcon
Ramirez, Octavio A.; Dorfman, Jeffrey H..
Tipo: Conference Paper or Presentation Palavras-chave: Time series; Modelling; Bayesian probability; Research Methods/ Statistical Methods.
Ano: 2010 URL: http://purl.umn.edu/60917
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Income Earning Potential versus Consumptive Amenities in Determining Ranchland Values AgEcon
Torell, L. Allen; Rimbey, Neil R.; Ramirez, Octavio A.; McCollum, Daniel W..
The relative importance of income earning potential versus consumptive values in setting ranchland prices is examined using a truncated hedonic model. The market value of New Mexico ranches is related to annual income earning potential and other ranch characteristics including ranch size, location, elevation, terrain, and the amount of deeded, public, and state trust land on the ranch. We found ranch income to be a statistically important determinant of land value, but yet a relatively small percentage of ranch value was explained by income earnings. Ranch location, scenic view, and the desirable lifestyle influenced ranch value more than ranch income.
Tipo: Journal Article Palavras-chave: Consumptive value; Grazing fees; Grazing permit value; Hedonic model; Land value; Lifestyle agriculture; Public land grazing; Voluntary grazing permit buyout; Land Economics/Use.
Ano: 2005 URL: http://purl.umn.edu/30986
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Issues and Strategies for Aggregate Supply Response Estimation for Policy Analyses AgEcon
Ramirez, Octavio A.; Mohanty, Samarendu; Carpio, Carlos E.; Denning, Megan.
We demonstrate the use of the small-sample econometrics principles and strategies to come up with reliable yield and acreage models for policy analyses. We focus on demonstrating the importance of proper representation of systematic and random components of the model for improving forecasting precision along with more reliable confidence intervals for the forecasts. A probability distribution function modeling approach, which has been shown to provide more reliable confidence intervals for the dependent variable forecasts than the standard models that assume error term normality, is used to estimate cotton supply response in the Southeastern United States.
Tipo: Journal Article Palavras-chave: Nonnormality; Probability distribution function; Supply response; Q11; Q18; C32.
Ano: 2004 URL: http://purl.umn.edu/43420
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JOINT MODELING AND SIMULATION OF AUTOCORRELATED NON-NORMAL TIME SERIES: AN APPLICATION TO RISK AND RETURN ANALYSIS AgEcon
Ramirez, Octavio A.; Somarriba, Eduardo.
This study presents a technique that can jointly model and simulate the expected values, variances, and covariances of sets of correlated time-series dependent variables that are autocorrelated and non-normal (right or left skewed and/or kurtotic). It illustrates the method by applying it to risk analysis of diversified tropical agroforestry systems.
Tipo: Conference Paper or Presentation Palavras-chave: Resource /Energy Economics and Policy; Risk and Uncertainty.
Ano: 1999 URL: http://purl.umn.edu/21564
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