ESTIMATION OF EFFICIENT REGRESSION MODELS FOR APPLIED AGRICULTURAL ECONOMICS RESEARCH
Sukant K. Misra and
No 19904, 2002 Annual meeting, July 28-31, Long Beach, CA from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)
This paper proposes and explores the use of a partially adaptive estimation technique to improve the reliability of the inferences made from multiple regression models when the dependent variable is not normally distributed. The relevance of this technique for agricultural economics research is evaluated through Monte Carlo simulation and two mainstream applications: A time-series analysis of agricultural commodity prices and an empirical model of the West Texas cotton basis. It is concluded that, given non-normality, this technique can substantially reduce the magnitude of the standard errors of the slope parameter estimators in relation to OLS, GLS and other least squares based estimation procedures, in practice, allowing for more precise inferences about the existence, sign and magnitude of the effects of the independent variables on the dependent variable of interest. In addition, the technique produces confidence intervals for the dependent variable forecasts that are more efficient and consistent with the observed data. Key Words: Efficient regression models, partially adaptive estimation, non-normality, skewness, heteroskedasticity, autocorrelation.
Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea02:19904
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