For many low-income countries, the impact of structural reforms on economic growth and poverty alleviation crucially depends on the response of aggregate agricultural supply to changing incentives. Despite its policy relevance, the size of this parameter is still largely unknown. This paper...

Econometric and time series model are utilized to study price linkages between the U.S. and chicken export markets. VAR model results show export price is affected by its past and leg-quarters prices. Econometric estimation results suggest a negative relationship between export price and broiler...

Purpose - Developing price forecasts for various agricultural commodities has long been a significant undertaking for a variety of agricultural market players. The weekly wholesale price of edible oil in the Chinese market over a ten-year period, from January 1, 2010 to January 3, 2020, is the...

Cointegration analysis is applied to investigate the long run relationships between money, prices, and wages in Norway. Broad money is determined endogenously, and monetary balances were exposed to large shocks during the period of financial deregulation in the midst of the 1980s. In the long...

In this chapter, a procedure is presented to use the bootstrap in choosing the best approximation in terms of forecasting performance for the equivalent state-space representation of a vector autoregressive model. It is found that the proposed procedure, which uses each approximant's forecasting...

This paper presents the MARX package for the analysis of mixed causal-noncausal autoregressive processes with possibly exogenous regressors. The distinctive feature of MARX models is that they abandon the Gaussianity assumption on the error term.This deviation from the Box-Jenkins approach...

In this paper we extend the traditional GARCH(1,1) model by including a functional trend term in the conditional volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the Mexican CPI basket, as well as to the international prices...

I make inferences about complicated patterns of structural breaks in inflation dynamics. I extend Chib's (1998) approach by allowing multiple parameters such as the unconditional mean, a group of persistence parameters, and/or the residual variance to undergo mutually independent structural...

In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate an autoregressive GARCH-in-mean model with variable coefficients and we propose a new measure of second-order time varying persistence, which not only distinguishes between...