Testing of breakdates in agricultural prices of selected representatives of animal production
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 to serious problems with economic models of time...
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| Format: | Article |
| Language: | English |
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Mendel University Press
2012-01-01
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| Series: | Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis |
| Subjects: | |
| Online Access: | https://acta.mendelu.cz/60/7/0045/ |
| _version_ | 1819143778211987456 |
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| author | Petra Bubáková |
| author_facet | Petra Bubáková |
| author_sort | Petra Bubáková |
| collection | DOAJ |
| 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 to serious 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 Quandt or 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 was detected in the prices of beef (April 2002) and none in the case of pork prices. The results show the importance of multiple breakdate testing. The Quandt statistic provides one possible way of applying a multiple approach. All breakdates which were confirmed using these statistics can be associated with changes in the agri-food market and economic environment. Information about the date of changes in the time series can be used for other unbiased modelling in more complex models. |
| first_indexed | 2024-12-22T12:31:39Z |
| format | Article |
| id | doaj.art-261accfac30f45e8bcafd149fe26df4d |
| institution | Directory Open Access Journal |
| issn | 1211-8516 2464-8310 |
| language | English |
| last_indexed | 2024-12-22T12:31:39Z |
| publishDate | 2012-01-01 |
| publisher | Mendel University Press |
| record_format | Article |
| series | Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis |
| spelling | doaj.art-261accfac30f45e8bcafd149fe26df4d2022-12-21T18:25:39ZengMendel University PressActa Universitatis Agriculturae et Silviculturae Mendelianae Brunensis1211-85162464-83102012-01-01607455410.11118/actaun201260070045Testing of breakdates in agricultural prices of selected representatives of animal productionPetra Bubáková0Katedra ekonomiky, Provozně ekonomická fakulta, Česká zemědělská univerzita v Praze, Kamýcká 129, 165 21 Praha 6-Suchdol, Česká republikaThis 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 to serious 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 Quandt or 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 was detected in the prices of beef (April 2002) and none in the case of pork prices. The results show the importance of multiple breakdate testing. The Quandt statistic provides one possible way of applying a multiple approach. All breakdates which were confirmed using these statistics can be associated with changes in the agri-food market and economic environment. Information about the date of changes in the time series can be used for other unbiased modelling in more complex models.https://acta.mendelu.cz/60/7/0045/breakdatestructural changeAR modelQuandt statisticstabilitymultiple testing |
| spellingShingle | Petra Bubáková Testing of breakdates in agricultural prices of selected representatives of animal production Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis breakdate structural change AR model Quandt statistic stability multiple testing |
| title | Testing of breakdates in agricultural prices of selected representatives of animal production |
| title_full | Testing of breakdates in agricultural prices of selected representatives of animal production |
| title_fullStr | Testing of breakdates in agricultural prices of selected representatives of animal production |
| title_full_unstemmed | Testing of breakdates in agricultural prices of selected representatives of animal production |
| title_short | Testing of breakdates in agricultural prices of selected representatives of animal production |
| title_sort | testing of breakdates in agricultural prices of selected representatives of animal production |
| topic | breakdate structural change AR model Quandt statistic stability multiple testing |
| url | https://acta.mendelu.cz/60/7/0045/ |
| work_keys_str_mv | AT petrabubakova testingofbreakdatesinagriculturalpricesofselectedrepresentativesofanimalproduction |