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A Monte Carlo Comparison Of Alternative Estimators Of Autocorrelated Simultaneous Systems Using A U.S. Pork Sector Model As The True Structure

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  • Naik, Gopal
  • Dixon, Bruce L.

Abstract

Monte Carlo analysis of the performance of alternative estimators of simultaneous system's coefficients in the presence of autocorrelation is performed. The "true" underlying model is an estimated, three-equation, monthly model of the U.S. pork market. Estimators for ex post forecasts are also compared. Multicollinearity is found to be a salient characteristic likely adversely affecting estimator performance. Results show that correcting for autocorrelation is desirable when levels of autocorrelation are high for both parameter accuracy and ex post forecasting. However, the best structural coefficient estimator for high levels of autocorrelation is not necessarily the best estimator for ex post forecasting.

Suggested Citation

  • Naik, Gopal & Dixon, Bruce L., 1986. "A Monte Carlo Comparison Of Alternative Estimators Of Autocorrelated Simultaneous Systems Using A U.S. Pork Sector Model As The True Structure," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 11(2), pages 1-12, December.
    • Handle: RePEc:ags:wjagec:32250
    DOI: 10.22004/ag.econ.32250
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    References listed on IDEAS

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    1. Gopal Naik & Raymond M. Leuthold, 1986. "A Note on Qualitative Forecast Evaluation," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(3), pages 721-726.
    2. Raymond M. Leuthold & Peter A. Hartmann, 1979. "A Semi-Strong Form Evaluation of the Efficiency of the Hog Futures Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 61(3), pages 482-489.
    3. Marvin L. Hayenga & Duane Hacklander, 1970. "Monthly Supply-Demand Relationships for Fed Cattle and Hogs," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 52(4), pages 535-544.
    4. Larry Martin & Anthony C. Zwart, 1975. "A Spatial and Temporal Model of the North American Pork Sector for the Evaluation of Policy Alternatives," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 57(1), pages 55-66.
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