Quarterly Storage Model of U.S. Cotton Market: Estimation of the Basis under Rational Expectations

Oleksiy Tokovenko and Lewell F. Gunter

No 6435, 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: The paper outlines an approach to estimation and analysis of the futures basis in the U.S. cotton market under weakly rational expectations. Given the model specification derived from the underlying dynamic profit optimization problem of the dealers, the intermediary market model is estimated using the self-organizing state-space (SOSS) approach. Estimation results are used to evaluate the prediction power of the method and test the main assumptions about the existence and consistency of the subjective rational expectations incorporated in the model.

Keywords: Crop; Production/Industries (search for similar items in EconPapers)
Pages: 14
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea08:6435

DOI: 10.22004/ag.econ.6435

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