Estimating structural changes in the vertical price relationships in U.S. beef and pork markets

Journal of Agricultural and Resource Economics

Volumn 35, Issue 2, 2010, Pages 228-244

  Boetel, Brenda L ^a,b   Liu, Donald J ^c  

^a UNIVERSITY OF WISCONSIN RIVER FALLS   (United States)

^b University of Wisconsin Extension System   (United States)

^c UNIVERSITY OF MINNESOTA   (United States)

Author keywords

Farm cattle and hog prices; Long run price relationship; Retail beef and pork prices; Structural breaks of unknown timing; Structural changes; Vertical price relationship

Indexed keywords

BOS; SUIDAE;

EID: 77956934532     PISSN: 10685502     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (39)

1. Abdulai, A. "Using Threshold Cointegration to Estimate Asymmetric Price Transmission in the Swiss Pork Market."Appl. Econ. 34,6(2002):679-687
2. Adachi, K., and D. J. Liu. "Estimating Long-Run Price Relationship with Structural Change of Unknown Timing: An Application to the Japanese Pork Market." Amer. J. Agr. Econ. 91,4(2009): 1440-1447
3. Ardeni, P. G. "Does the Law of One Price Really Hold for Commodity Prices?" Amer. J. Agr. Econ. 71,3(1989):661-669.
4. Bai, J. "Estimating Multiple Breaks One at a Time." Econometric Theory 13,3(1997):315-352
5. Bai, J., and P. Perron. "Estimating and Testing Linear Models with Multiple Structural Changes." Econo-metrica 66, 1(1998):47-78.
6. "Computation and Analysis of Multiple Structural Change Models." J. Appl. Econometrics 18,1 (2003a): 1-22.
7. "Critical Values for Multiple Structural Change Tests." Econometrics J. 6(2003b):72-78.
8. Bailey, D., and B. W. Brorsen. "Price Asymmetry in Spatial Fed Cattle Markets." West. J. Agr. Econ. 14,2(1989):246-252.
9. Balagtas, J. V., and M. T. Holt. "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach." Amer. J. Agr. Econ. 91,1(2009):87-105.
10. Banerjee, A., J. J. Dolado, J. W. Galbraith, and D. F. Hendry. Cointegration, Error-Correction and the Econometric Analysis of Nonstationary Data. London: Oxford University Press, 1993.
11. Boetel, B. L., and D. J. Liu. "Incorporating Structural Changes in Agricultural and Food Price Analysis: An Application to the U.S. Beef and Pork Sectors." Work. Pap. No.2008-02, Food Industry Center, University of Minnesota, 2008.
12. Boyd, M. S., and B. W. Brorsen. "Price Asymmetry in the U.S. Pork Marketing Channel." N. Cent. J. Agr. Econ. 10,1(1988):103-110.
13. Engle, R. F., and C. W. J. Granger. "Cointegration and Error Correction: Representation, Estimation, and Testing." Econometrica 55,2(1987):251-276
14. Gardner, B. "The Farm-Retail Price Spread in a Competitive Food Industry." Amer. J. Agr. Econ. 57,3(1975): 399-409.
15. Goodwin, B. K. "Forecasting Cattle Prices in the Presence of Structural Change." S. J. Agr. Econ. 24,2(1992): 11-22.
16. Goodwin, B. K., and D. C. Harper. "Price Transmission, Threshold Behavior, and Asymmetric Adjustment in the U.S. Pork Sector.".J. Agr. and Appl. Econ. 32,3(2000):543-553.
17. Goodwin, B. K., and M. T. Holt. "Price Transmission and Asymmetric Adjustment in the U.S. Beef Sector." Amer. J. Agr. Econ. 81,3(1999):630-637
18. Goodwin, B. K., and N. E. Piggott. "Spatial Market Integration in the Presence of Threshold Effects." Amer. J. Agr. Econ. 83,2(2001):302-317
19. Goodwin, B. K., and T. C. Schroeder. "Cointegration Tests and Spatial Price Linkages in Regional Cattle Markets." Amer. J. Agr. Econ. 73,2(1991):452-464
20. Gregory, A. W., and B. E. Hansen. "Residual-Based Tests for Cointegration in Models with Regime Shifts." J. Econometrics 70,1(1996):99-126
21. Hahn, W. F. "Price Transmission Asymmetry in Pork and Beef Markets." J. Agr. Econ. Res. 42,4(1990):21-30
22. Hansen, B. E. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity." J. Econ. Perspec. 15,4(2001):117-128
23. Hendry, D. F. "Interpreting Linear Models." In Dynamic Econometrics: Advanced Texts in Econometrics, pp. 195-229 London: Oxford University Press, 1995
24. Holt, M. T., and L. A. Craig. "Nonlinear Dynamics and Structural Change in the U.S. Hog-Corn Cycle: A Time-Varying STAR Approach." Amer. J. Agr. Econ. 88,1(2006):215-233
25. Kejriwal, M., and P. Perron. "The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes.".J. Econometrics 146,1(2008):59-73.
26. "Testing for Multiple Structural Changes in Cointegrated Regression Models." J. Bus and Econ. Stalls. (2009). Online at doi: 10.1198/jbes.2009.07220
27. Kinnucan, H. W., and O. D. Forker. "Asymmetry in Farm-Retail Price Transmission for Major Dairy Products." Amer. J. Agr. Econ. 69,2(1987):285-292
28. Livestock Marketing Information Center. Farm cattle and hog price data, 2008. Online. Available at http://www.lmic.org. [Accessed March 2008.]
29. Martinez, S. W. "Vertical Coordination in the Pork and Broiler Industries: Implications for Pork and Chicken Products." Agr. Econ. Rep. No.777, USDA/ Economic Research Service, Washington, DC, April 1999
30. Meyer, J., and S. von Cramon-Taubadel. "Asymmetric Price Transmission: A Survey." /. Agr. Econ. 55,3(2004):581-611.
31. Parham, K. D., and L. A. Duewer. "An Evaluation of Price Spread and Cost Component Estimates for Choice Beef and Pork." Economics and Statistics Service Staff Rep. No. AGES-S801215, USDA/National Economics Division, Washington, DC, December 1980.
32. Perron, P. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables." J. Econometrics 80,2(1997):335-385.
33. "Computation and Hypothesis Testing in Models with Multiple Structural Changes." 2004. Online. Available at http://people.bu.edu/ perron/code.html. [Accessed February 2010.]
34. Phillips, P. C. B., and M. Loretan. "Estimating Long-Run Economic Equilibria." Rev. Econ. Stud. [Special Issue: The Econometrics of Financial Markets] 58,3( 1991 ):407-436
35. Stock, J. H. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors." Econometrica 55,5(1987):1035-1056.
36. Tiffin, R., and P. J. Dawson. "Structural Breaks, Cointegration, and the Farm-Retail Price Spread for Lamb." Appl. Econ. 32,10(2000):1281-1286
37. Tonsor, G., J. Mintert, and T. Schroeder. "U.S. Beef Demand Drivers and Enhancement Opportunities." Pub. No.MF-2893, Kansas State University Agr. Exp. Sta. and Coop. Ext. Ser., June 2009
38. U.S. Department of Agriculture, Economic Research Service. "Meat Price Spreads." USDA/ERS, Washington, DC, 2008. Online. Available at www.ers.usda.gov/data/meatpricespreads. [Accessed March 2008.]
39. Wang, D., and W. G. Tomek. "Commodity Prices and Unit Root Tests." Amer. J. Agr. Econ. 89,4(2007): 873-889.