Shock Absorbing Prices, a Look at Cattle and Feed

This paper explores the time series properties of cattle and feed prices to determine the effect shocks may have on price evolution. Two different unit roots tests are applied to the data and compared and the issue of fractional integration is discussed. A Geweke Porter-Hudak test finds that at least of three of the four price series are fractionally integrated. VAR models are estimated using level data and fractionally differenced data and impulse responses compared across various degrees of fractional differencing.


Issue Date:
2006
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/21408
Total Pages:
36
Series Statement:
Selected Paper 159816:




 Record created 2017-04-01, last modified 2017-08-24

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