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Time series analysis of monthly beef cattle prices with nonlinear autoregressive models


  • Antonio Aguirre
  • Luis Antonio Aguirre


This paper analyses the dynamics underlying a time series of the monthly average beef cattle price received by producers in the State of Sao Paulo (Brazil). The time series under study records monthly prices since 1954. An exploratory analysis suggested that after a period of intense government intervention in the cattle and beef markets, the underlying dynamics seem to be settling to a pattern similar to the one observed prior to that period. In order to try to verify if the underlying dynamics after the interventionist phase are similar to those in former times, a forecasting procedure has been used based on nonlinear autoregressive models. This tye of models were used after the BDS test showed significant results which can be interpreted as nonlinearities in the data. The results discussed in the paper seem to suggest that after a period of intense interventions that lasted over two decades, the current underlying dynamics are close (from a forecasting point of view) to those observed more than thirty years ago.

Suggested Citation

  • Antonio Aguirre & Luis Antonio Aguirre, 2000. "Time series analysis of monthly beef cattle prices with nonlinear autoregressive models," Applied Economics, Taylor & Francis Journals, vol. 32(3), pages 265-275.
  • Handle: RePEc:taf:applec:v:32:y:2000:i:3:p:265-275
    DOI: 10.1080/000368400322697

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    References listed on IDEAS

    1. Antonio Aguirre & Luis A. Aguirre, 1997. "Preço da carne de boi gordo: regressão dinâmica com variáveis "dummy" sazonais," Textos para Discussão Cedeplar-UFMG 107, Cedeplar, Universidade Federal de Minas Gerais.
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    Cited by:

    1. Evzen Kocenda & Lubos Briatka, 2004. "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," CERGE-EI Working Papers wp235, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    2. Antonio Aguirre & Andreu Sansó, 2002. "Using different null hypotheses to test for seasonal unit roots in economic time series," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 0(1-2), pages 3-26, January-D.
    3. Evzen Kocenda & Lubos Briatka, 2005. "Optimal Range for the iid Test Based on Integration Across the Correlation Integral," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 265-296.

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