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Endogenous Risk in a Rational-Expectation Model of the U.S. Broiler Market: A Multivariate Arch-M Approach

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  • Holt, Matthew T.
  • Aradhyula, Satheesh V.

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  • Holt, Matthew T. & Aradhyula, Satheesh V., 1991. "Endogenous Risk in a Rational-Expectation Model of the U.S. Broiler Market: A Multivariate Arch-M Approach," Staff Papers 200538, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
    • Handle: RePEc:ags:wisagr:200538
    DOI: 10.22004/ag.econ.200538
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    References listed on IDEAS

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    1. Diebold, Francis X. & Pauly, Peter, 1988. "Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate," European Economic Review, Elsevier, vol. 32(1), pages 27-53, January.
    2. Diebold, Francis X & Nerlove, Marc, 1989. "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar..
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    4. Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(1), pages 49-73, January.
    5. A. I. McLeod & W. K. Li, 1983. "Diagnostic Checking Arma Time Series Models Using Squared‐Residual Autocorrelations," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 269-273, July.
    6. Jean-Paul Chavas & Matthew T. Holt, 1990. "Acreage Decisions Under Risk: The Case of Corn and Soybeans," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(3), pages 529-538.
    7. Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
    8. Lin, William, 1977. "Measuring Aggregate Supply Response Under Instability," 1977 AAEA-WAEA Joint Meeting, July 31-August 3, San Diego, California 283678, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    9. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    10. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
    11. Satheesh V. Aradhyula & Matthew T. Holt, 1989. "Risk Behavior and Rational Expectations in the U.S. Broiler Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(4), pages 892-902.
    12. B. Wade Brorsen & Jean-Paul Chavas & Warren R. Grant, 1987. "A Market Equilibrium Analysis of the Impact of Risk on the U.S. Rice Industry," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 69(4), pages 733-739.
    13. Hoffman, Dennis L, 1991. "Two-Step and Related Estimators in Contemporary Rational-Expectations Models: An Analysis of Small-Sample Properties," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(1), pages 51-61, January.
    14. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    15. Huntzinger, R. La Var, 1979. "Market analysis with rational expectations : Theory and estimation," Journal of Econometrics, Elsevier, vol. 10(2), pages 127-145, June.
    16. Holt, Matthew T & Johnson, Stanley R, 1989. "Bounded Price Variation and Rational Expectations in an Endogenous Switching Model of the U.S. Corn Market," The Review of Economics and Statistics, MIT Press, vol. 71(4), pages 605-613, November.
    17. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    18. William Lin, 1977. "Measuring Aggregate Supply Response under Instability," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 59(5), pages 903-907.
    19. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-247, February.
    20. Shonkwiler, J S & Maddala, G S, 1985. "Modeling Expectations of Bounded Prices: An Application to the Market for Corn," The Review of Economics and Statistics, MIT Press, vol. 67(4), pages 697-702, November.
    21. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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