000037579 001__ 37579
000037579 005__ 20180122205558.0
000037579 037__ $$a1313-2016-102638
000037579 041__ $$aen
000037579 245__ $$aThe Impact of Measurement Error on Estimates of the Price Reaction to USDA Crop Reports
000037579 260__ $$c2007-04
000037579 269__ $$a2007-04
000037579 300__ $$a29
000037579 336__ $$aConference Paper/ Presentation
000037579 520__ $$aThis paper investigates the impact of USDA crop production reports in corn and
soybean futures markets. The analysis is based on all corn and soybean production reports
released over 1970-2006. The empirical analysis compares the typical OLS event
study approach to the new Identification by Censoring (ITC) technique. Corn and soybean
production reports are analyzed both separately and together for impact in corn
and soybean futures prices. ITC proves to be the more useful method because it avoids
the pitfalls of errors in variables that cause downward bias in OLS coefficients. Price
reaction coefficients estimated via ITC are one to four times larger than OLS estimates
for a one price and one event analysis. In the two price, two event case, ITC estimates
are one to six times larger. Market reaction to the unanticipated information in USDA
forecasts is substantially larger than estimated in previous studies.
000037579 542__ $$fLicense granted by mark althouse (malthous@uiuc.edu) on 2008-06-26T16:53:35Z (GMT):

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000037579 6531_ $$aevent study
000037579 6531_ $$aUSDA Crop Production reports
000037579 6531_ $$ameasurement error
000037579 6531_ $$aIdentification
Through Censoring
000037579 700__ $$aAulerich, Nicole M.
000037579 700__ $$aIrwin, Scott H.
000037579 700__ $$aNelson, Carl H.
000037579 8564_ $$s309575$$uhttp://ageconsearch.umn.edu/record/37579/files/confp23-07.pdf
000037579 887__ $$ahttp://purl.umn.edu/37579
000037579 909CO $$ooai:ageconsearch.umn.edu:37579$$pGLOBAL_SET
000037579 912__ $$nSubmitted by mark althouse (malthous@uiuc.edu) on 2008-06-26T16:55:39Z
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  Previous issue date: 2007-04
000037579 982__ $$gNCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2007 Conference, April 16-17, 2007, Chicago, Illinois
000037579 980__ $$a1313