Shock Absorbing Prices, a Look at Cattle and Feed
No 21408, 2006 Annual meeting, July 23-26, Long Beach, CA from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)
This paper explores the time series properties of cattle and feed prices to determine the effect shocks may have on price evolution. Two different unit roots tests are applied to the data and compared and the issue of fractional integration is discussed. A Geweke Porter-Hudak test finds that at least of three of the four price series are fractionally integrated. VAR models are estimated using level data and fractionally differenced data and impulse responses compared across various degrees of fractional differencing.
Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea06:21408
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