Testing of breakdates in agricultural prices of selected representatives of animal production

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F12%3A58617" target="_blank" >RIV/60460709:41110/12:58617 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

čeština

Original language name

Testing of breakdates in agricultural prices of selected representatives of animal production

Original language description

This paper deals with an investigation of breakdates in agricultural prices. A structural break has occurred if at least one of the model parameters has changed at some date. This date is a breakdate. Ignoring structural breaks in time series can lead toserious problems with economic models of time series. The aim is to determine the number and date of the breakdates in individual time series and connect them with changes in the market and economic environment. The time series of agricultural price relating to animal production, namely the prices of pork, beef, chicken, milk and eggs, are analyzed for the period from January 1996 to December 2011. The autoregressive model (AR) model of Box-Jenkins methodology and stability testing according to Quandtor Wald statistics are used for the purposes of this paper. Multiple breakdates are found in the case of eggs (September 1998, May 2004), milk (October 1999, December 2007) and chicken (October 2002, February 2005) prices. One breakdate w

Czech name

Testing of breakdates in agricultural prices of selected representatives of animal production

Czech description

This paper deals with an investigation of breakdates in agricultural prices. A structural break has occurred if at least one of the model parameters has changed at some date. This date is a breakdate. Ignoring structural breaks in time series can lead toserious problems with economic models of time series. The aim is to determine the number and date of the breakdates in individual time series and connect them with changes in the market and economic environment. The time series of agricultural price relating to animal production, namely the prices of pork, beef, chicken, milk and eggs, are analyzed for the period from January 1996 to December 2011. The autoregressive model (AR) model of Box-Jenkins methodology and stability testing according to Quandtor Wald statistics are used for the purposes of this paper. Multiple breakdates are found in the case of eggs (September 1998, May 2004), milk (October 1999, December 2007) and chicken (October 2002, February 2005) prices. One breakdate w

Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

GA - Agricultural economics

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

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Volume of the periodical

LX

Issue of the periodical within the volume

7

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

10

Pages from-to

45-54

UT code for WoS article

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EID of the result in the Scopus database

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