The Cattle Price Cycle: An Exploration in Simulation
AbstractThe simulation of commodity prices has been undertaken using a myriad of techniques, with some omitting the cyclical component and others ignoring the presence of inter-temporal relationships expressed as autoregressive errors. This study examines the periodicity of cattle prices and the modeling of the cattle cycle for simulation purposes. The AIC criterion is used to determine lengths of various cycles to be included in a harmonic model, with a chained modeling approach providing the best representation of the cattle cycle.
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Bibliographic InfoPaper provided by NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management in its series 2007 Conference, April 16-17, 2007, Chicago, Illinois with number 37564.
Date of creation: Apr 2007
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cattle Price cycle; harmonic model; simulation;
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NBER Working Papers
4403, National Bureau of Economic Research, Inc.
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- David Aadland, 2001. "Cattle Cycles, Heterogeneous Expectations and the Age Distribution of Capital," Working Papers 2002-02, Utah State University, Department of Economics.
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