Estimation Of Efficient Regression Models For Applied Agricultural Economics Research
This paper proposes and explores the use of a partially adaptive estimation technique to improve the reliability of the inferences made from multiple regression models when the dependent variable is not normally distributed. The relevance of this technique for agricultural economics research is evaluated through Monte Carlo simulation and two mainstream applications: A time-series analysis of agricultural commodity prices and an empirical model of the West Texas cotton basis. It is concluded that, given non-normality, this technique can substantially reduce the magnitude of the standard errors of the slope parameter estimators in relation to OLS, GLS and other least squares based estimation procedures, in practice, allowing for more precise inferences about the existence, sign and magnitude of the effects of the independent variables on the dependent variable of interest. In addition, the technique produces confidence intervals for the dependent variable forecasts that are more efficient and consistent with the observed data. Key Words: Efficient regression models, partially adaptive estimation, non-normality, skewness, heteroskedasticity, autocorrelation.
|Date of creation:||2002|
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- Newey, Whitney K., 1988. "Adaptive estimation of regression models via moment restrictions," Journal of Econometrics, Elsevier, vol. 38(3), pages 301-339, July.
- McDonald, James B., 1989. "Partially adaptive estimation of ARMA time series models," International Journal of Forecasting, Elsevier, vol. 5(2), pages 217-230.
- Seamon, V. Frederick & Kahl, Kandice H., 2000. "An Analysis Of Factors Affecting The Regional Cotton Basis," 2000 Conference, April 17-18 2000, Chicago, Illinois 18924, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Krinsky, Itzhak & Robb, A Leslie, 1986. "On Approximating the Statistical Properties of Elasticities," The Review of Economics and Statistics, MIT Press, vol. 68(4), pages 715-719, November.
- McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(03), pages 428-457, December.
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