Time Varying Coefficient: An Application of Flexible Least Squares to Cattle Captive Supply

Man-Keun Kim and Andrew C. Lee

No 19124, 2005 Annual meeting, July 24-27, Providence, RI from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Although conventional linear regression techniques assume time constancy of parameters time varying coefficient or the problem of structural instability in econometric relationships has been recognized by econometricians. In this study, time varying impact of captive supply on fed cattle cash market price is investigated via flexible least squares approach. Time path of flexible least squares coefficient estimate indicates an approximately four fold increase in price impact of captive supply over the sample period, but even this multiplied price impact is small compared to the effect of boxed beef price which shows negligible time variation. The time path also aids in identification of structural breaks in the price impact of captive supply.

Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
Pages: 23
Date: 2005
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea05:19124

DOI: 10.22004/ag.econ.19124

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