Estimating Structural Changes in the Vertical Price Relationships in U.S. Beef and Pork Markets
By: Boetel, Brenda L.; Liu, Donald J.
Boetel, Brenda L.; Liu, Donald J., Estimating Structural Changes in the Vertical Price Relationships in U.S. Beef and Pork Markets, Journal of Agricultural and Resource Economics, Volume 35, Issue 2, August 2010, Pages 228-244
This paper examines structural breaks in the vertical price relationships in U.S. beef/cattle and pork/hog sectors using monthly data of the past 40 years. A major methodological issue addressed is how to estimate price relationships when data contain intermittent structural breaks with unknown break dates. The adopted procedures endogenously search for structural break dates while explicitly accounting for this search in statistical inferences. Four breaks for the beef/cattle price relationship and three breaks for the pork/hog price relationship are identified. The estimation results further confirm the importance of allowing for structural breaks in the analysis of vertical price relationships.