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Time Varying Coefficient: An Application of Flexible Least Squares to Cattle Captive Supply

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Author Info
Kim, Man-Keun
Lee, Andrew

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Abstract

Although conventional linear regression techniques assume time constancy of parameters time varying coefficient or the problem of structural instability in econometric relationships has been recognized by econometricians. In this study, time varying impact of captive supply on fed cattle cash market price is investigated via flexible least squares approach. Time path of flexible least squares coefficient estimate indicates an approximately four fold increase in price impact of captive supply over the sample period, but even this multiplied price impact is small compared to the effect of boxed beef price which shows negligible time variation. The time path also aids in identification of structural breaks in the price impact of captive supply.

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Publisher Info
Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2005 Annual meeting, July 24-27, Providence, RI with number 19124.

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Date of creation: 2005
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Handle: RePEc:ags:aaea05:19124

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Related research
Keywords: time varying coefficient; flexible least squares; structural break; captive supply; Research Methods/ Statistical Methods;

References listed on IDEAS
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  1. Kalaba, R. & Tesfatsion, Leigh S., 2004. "A Further Note on Flexible Least Squares and Kalman Filtering," Staff General Research Papers 11192, Iowa State University, Department of Economics.
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  2. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-84, January. [Downloadable!] (restricted)
  3. Tesfatsion, Leigh S. & Veitch, J., 2004. "U.S. Money Demand Instability: A Flexible Least Squares Approach," Staff General Research Papers 11193, Iowa State University, Department of Economics.
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  4. Kalaba, R. & Tesfatsion, Leigh S., 2004. "Time-Varying Linear Regression Via Flexible Least Squares," Staff General Research Papers 11196, Iowa State University, Department of Economics.
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