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Efficient Estimation of Agricultural Time Series Models with Nonnormal Dependent Variables

Sukant K. Misra and Jeannie Nelson
Authors registered in the RePEc Author Service: Octavio A. Ramirez

American Journal of Agricultural Economics, 2003, vol. 85, issue 4, 1029-1040

Abstract: This article proposes using an expanded form of the Johnson S U family as a way to approximate nonnormal distributions in regression models. The distribution is one of the few that allows modeling heteroskedasticity and autocorrelation. The technique is evaluated with Monte Carlo simulation and illustrated through an empirical model of the West Texas cotton basis. Given nonnormality, this technique can substantially reduce the variance of slope parameter estimates relative to least squares procedures. Copyright 2003, Oxford University Press.

Date: 2003
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Handle: RePEc:oup:ajagec:v:85:y:2003:i:4:p:1029-1040