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This paper examines the impact of mechanical refrigeration on temporal and spatial price relationships for regional egg markets in the United States, 1880–1911. Notably, this period encompasses an era in which widespread adoption of mechanical refrigeration facilitated the ability to store otherwise perishable commodities. This development in turn altered observed price dynamics for many perishables, including fresh eggs. We use a class of time series models, time–varying autoregressions (TVARs), to document both the structural change and the corresponding impact on spatial price dynamics for U.S. regional egg price relationships during the late 19th and early 20th centuries. Our results reveal that, while spatially distinct markets remained integrated, the opportunity to store eggs over time often resulted in weaker spatial price relationships for eggs. [ABSTRACT FROM AUTHOR]

We extend Holt and Bishop’s (2002) normalized quadratic inverse demand function by obtaining measures of precision of elasticities and consumer welfare loss estimates due to reductions in commercial landings in the U.S. Great Lakes. Even with curvature constraints imposed, confidence intervals are obtained by using the bootstrap, subsample bootstrap, and subsample jackknife. [ABSTRACT FROM AUTHOR]

The article analyzes the structural changes that take place in the agricultural market with the help of time-series data. It uses an inverse demand model, Inverse Almost Ideal Demand System (IAIDS), to study the demand for meat in the U.S. It mentions that the methodology used is built on the time-varying regression models and also considers the possibility of structural change being continuous and nonmonotonic.

Abstract: This paper examines the role of mechanical refrigeration in seasonality and structural change in the U.S. hog–corn cycle, 1870–1940. This period covers an era in which the widespread adoption of mechanical refrigeration greatly affected the ability to store and transport perishable commodities. These developments in turn altered the seasonal production and price structure for many commodities, including pork. We use a new class of time series models, time-varying smooth transition autoregressions (TV-STARs), to document both the structural change and the nonlinear features observed in seasonal patterns for the U.S. hog–corn price relationship during the late nineteenth and early twentieth centuries. [Copyright &y& Elsevier]

The linearity of the U.S. hog–corn cycle has been questioned by Chavas and Holt (1991) . Even so, attempts have not been made to model the potential nonlinear dynamics in the hog–corn cycle by using regime-switching models. One popular alternative is Teräsvirta's smooth transition autoregressive (STAR) model, which assumes regime switching is endogenous and potentially smooth. In this article, we examine monthly data for the U.S. hog–corn cycle, 1910–2004. A member of the STAR family, the time-varying STAR, is fitted to the data and its properties examined. We find evidence of nonlinearity, regime-dependent behavior, and time-varying parameter change. [ABSTRACT FROM AUTHOR]

A statistically optimal inference about agents' ex ante price expectations within the US broiler market is derived using futures prices of related commodities along with a quasi-rational forecasting regression equation. The modelling approach, which builds on a Hamilton-type framework, includes endogenous production and allows expected cash price to be decomposed into anticipated and unanticipated components. We therefore infer the relative importance of various informational sources in expectation formation. Results show that, in addition to the quasi-rational forecast, the true supply shock, future prices, and ex post commodity price forecast errors have, at times, been influential in broiler producers' price expectations. [ABSTRACT FROM AUTHOR]

Presents information on a study regarding price transmission and adjustment in the United States beef industry. Details on Threshold effect and modeling threshold autoregressive processes; Application of threshold tests on beef prices; Evaluation of the timing of shifts between the alternative regimes.

A method is developed to estimate jointly risk preferences and technology under general conditions. The approach is illustrated in an application to the analyst of U.S. corn-soybean acreage decisions over time. The results provide useful information on the nature of farmers' risk preferences and on the influence of price risk and production risk on acreage allocation and farmers' welfare. [ABSTRACT FROM AUTHOR]

Abstract--A model that includes bounded price variation and rational expectations by producers is estimated for the U.S. corn market. The resulting model specification is highly nonlinear though since the probability of market equilibrium must be determined endogenously. Unlike previous research, the cross-equation restrictions implied by the rational expectations hypothesis are incorporated in the bounded prices model by using Fair and Taylor's (1983) procedure for obtaining maximum likelihood estimates of nonlinear rational expectations models. The resulting model is compared against a standard equilibrium model with naive expectations. The results show the bounded prices model is a superior specification. [ABSTRACT FROM AUTHOR]

The purpose of this paper is to illustrate the potential for deriving total price and quantity effects for a dynamic simultaneous system of supply and demand equations. We build upon the methodological framework for deriving total price and quantity relationships considered by Chavas et al. (1981). In particular, we show how their analytical results can be extended, using numerical simulations, beyond their restrictive two-variable lag model. The result is that total elasticities and flexibilities can be obtained even when the lag structure on endogenous variables is not arbitrarily constrained. [ABSTRACT FROM AUTHOR]

The objective of this paper is to use a GARCH model to characterize the conditional mean and variance of expected price in an aggregate supply equation for the U.S. broiler industry. Unlike previous studies, a full information maximum likelihood (FIML) estimator is used to simultaneously model a price equation with GARCH errors and a structural supply equation with risk. The resulting estimator is closely related to the multivariate GARCH models described by Engle and Bollerslev [16] and the ARCH-M model of Engle, Lilien, and Robins [17]. Also, by using FIML to simultaneously estimate the price, production, and conditional variance equations, we avoid many of the estimation problems associated with other methods [33]. This paper has explored the potential for using a new method to estimate risk effects in aggregate supply equations. Specifically, a time-series procedure known as GARCH processes was presented as an alternative for modeling producers' subjective price and risk expectations. GARCH models differ from standard time-series models in that the conditional variance of the underlying stochastic process is specified as a function of past realizations of the random variable of interest. The result is that the conditional variance derived from a GARCH process will vary over time. Moreover, the modeling procedure developed here is similar to that proposed by Engle and Bollerslev [16] for the multivariate GARCH model and Engle, Lilien, and Robins [17] for the ARCH-M model in that the parameters of the production, price, and conditional variance equations were estimated simultaneously. [ABSTRACT FROM AUTHOR]

Discusses a multimarket bounded price variation model (BPVM) for agricultural commodities in the United States. Framework for estimating BPVM; Multimarket model in the corn and soybean markets; Market equilibrium effects of removing price support and acreage set-aside programs.

Evaluates the hog-corn price ratio using new methods for analyzing nonlinear dynamic processes in the United States. Focal point of dynamic analysis; Chaos associated with a general system of state equations; Tools for nonlinear dynamic analysis.

Analysis an acreage supply response model developed under expected utility maximization. Use of the model to specify and estimate a system of risk-responsive acreage equations for corn and soybeans in the United States; Truncation effects of government price supports on the distribution of corn and soybean prices; Inclusion of wealth variable in the acreage equation.

This study examines the empirical implications of extending the rational expectations hypothesis (REH) to include price uncertainty. A general estimation framework that incorporates both the restrictions on structural parameters and the variance-covariance terms is developed. GARCH time-series processes are used to generate time-varying expectations of both the means and the variances of exogenous variables. The empirical application is with a quarterly model of the U.S. broiler industry; the results indicate that the rational expectation of price variance is an important determinant of broiler supply. A formal test indicates that the restrictions implied by the REH cannot be rejected. [ABSTRACT FROM AUTHOR]