计量经济分析 = Econometric analysis

Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

Estimation and Inference in Econometrics

Asymmetric price transmission has been the subject of considerable attention in agricultural economics. It is not only important because it may point to gaps in economic theory, but also because its presence is often considered for policy purposes to be evidence of market failure. In this paper we survey the literature on asymmetric price transmission. A wide variety of often conflicting theories of, and empirical tests for, asymmetry co-exist in this literature. We classify the different types and causes of asymmetric price transmission and describe the econometric techniques used to quantify it. We also briefly review the results of empirical applications. Outstanding methodological problems and suggestions for future research are discussed. Our main conclusion is that the existing literature is far from being unified or conclusive, and that it has often been largely method-driven, with little attention devoted to theoretical underpinnings and the plausible interpretation of results. Hence, much interesting theoretical and empirical work remains to be done.

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Asymmetric Price Transmission: A Survey

A review of applications of Analytic Hierarchy Process in operations management

In this paper we review the existing empirical literature on price asymmetries in commodities, providing a way to classify and compare different studies which are highly heterogeneous in terms of econometric models, type of asymmetries and empirical findings. Relative to the previous literature, this paper is novel in several respects. First, it presents a detailed and updated survey of the existing empirical contributions on the existence of price asymmetries in the transmission mechanism linking input prices to output prices. Second, this paper presents an extension of the traditional distinction between long-run and short-run asymmetries to new categories of asymmetries, such as: contemporaneous impact, distributed lag effect, cumulated impact, reaction time, equilibrium and momentum equilibrium adjustment path, regime effect, regime equilibrium adjustment path. Third, each empirical study is critically discussed in the light of this new classification of asymmetries. Fourth, this paper evaluates the relative merits of the most popular econometric models for price asymmetries, namely autoregressive distributed lags, partial adjustments, error correction models, regime switching and vector autoregressive models.

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Econometric Models of Asymmetric Price Transmission

In this article, we describe the price transmission mechanism for three groups of agricultural products in Brazil to determine if they follow the pattern found in previous studies+ These groups combine different dimensions of the two arguments normally used to explain price asymmetry: market concentration and product storability+ Results from the study area in Brazil showed that neither product storability nor market concentration were required for intense price-increase transmission+ High and increasing Brazilian inflation rates found through 1994 led the population to expect continual price increases; the society may have been able to assimilate the most intense transmissions of price increments, independent of industry market power+ Consequently, our results demonstrate that the findings from previous price transmission studies cannot be generalized to other industries or for other periods+ New theoretical and empirical studies are needed to improve our understanding of asymmetrical price transmission+ @EconLit Citations: L660, 810# © 2002 Wiley Periodicals , Inc+

Asymmetry in Farm to Retail Price Transmission: Evidence from Brazil

Food purchasing in Brazil has undergone major changes in the last few decades caused by structural shifts such as urbanization, changes in demographic characteristics and increase in participation of women in the labor force. Therefore, it is necessary to identify thoroughly new consumption patterns of families, especially concerning determinants of food purchasing decision. The objective of this study was to understand the consumption pattern of Brazilian families for food products by means of a qualitative response variable model including eighteen food products using POF 2002/2003 data. The Probit model was chosen to estimate this decision. Estimation results showed that purchasing probabilities of staple foods were negative related to family monthly income, while meat, milk and other products showed a positive relation. Regional, educational and urbanization variables were also important. Households whose head is a woman have smaller purchasing probabilities in most commodities in the sample.

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Padrão de consumo de alimentos no Brasil

This paper analyzed the competitiveness of beef retailing in Brazil. We carried out a rapid appraisal by means of extensive usage of secondary information, key informant semistructured interviews and direct observation all around the country. We found that beef has been losing competitiveness to other meats in part because of price disadvantage and in part because of marketing inefficiencies. The critical points are: the intermittent quality, unhealthy image and high price of beef, the low level of income of most consumers, inept enforcement of safety regulations, and failing vertical coordination. An important outcome of this study is that most of the problems faced by retailers do not depend only on them. However, retailers need to play a dominant role in dealing with these issues because they represent the most organized segment of the Brazilian beef system. [Econ-Lit citations: L 660, L 810]. © 2002 Wiley Periodicals, Inc.

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Changes in beef consumption and retailing competitiveness in Brazil: a rapid appraisal

O objetivo geral deste artigo foi examinar a protecao oferecida pelos contratos futuros da CBOT (Chicago Board of Trade), nos seus diferentes vencimentos, aos hedgers brasileiros de soja em grao. O modelo empirico consistiu em calcular a efetividade do hedge entre diversas regioes do Brasil e os contratos futuros de soja em grao, da CBOT. Os resultados mostraram que os contratos com vencimento no segundo semestre sao mais efetivos, particularmente os que tem vencimento em julho e agosto. Alem disso, quebras da safra norte-americana podem fazer com que contratos, mesmo com vencimentos em novembro e janeiro, se tornem altamente efetivos, em decorrencia da maior procura pela mercadoria brasileira. Os resultados mostraram ainda que a efetividade e maior naquelas regioes proximas a portos de exportacao, como e o caso dos municipios de Cândido Mota (SP), Campo Mourao (PR) e Ponta Grossa (PR).

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Efetividade do hedge de soja em grão brasileira com contratos futuros de diferentes vencimentos na Chicago board of trade

The viability of introducing milk futures contracts in Brazil was assessed through a combination of multiple criteria decision analysis and the application of traditional principles from the theory of success and failure of futures trading. Commodity-specific attributes and market-related aspects were analyzed for chilled raw milk, ultra high temperature (UHT) milk, and milk powder. The analytic hierarchy process methodology was used to rank the commodities in terms of their feasibility prospects. Among them, it was ascertained that chilled raw milk is the most suitable for futures trading. Major reasons for this result are the product's high price volatility, the competitive nature of its markets, the absence of competing risk-management tools, and the impossibility of cross-hedging. Complementing the analysis, interviews were conducted with the 100 largest milk producers in the country to assess their perceptions regarding futures trading. Approximately 92% of these farmers expressed an interest in adopting milk futures contracts as price risk management tools. In conclusion, the analysis indicated that the introduction of a milk futures contract in Brazil has a high probability of success. [EconLit citations: Q130, C610, 0220]. © 2008 Wiley Periodicals, Inc.

Danilo Rolim Dias de Aguiar

Papers

Asymmetry in Farm to Retail Price Transmission: Evidence from Brazil

Padrão de consumo de alimentos no Brasil

Changes in beef consumption and retailing competitiveness in Brazil: a rapid appraisal

Efetividade do hedge de soja em grão brasileira com contratos futuros de diferentes vencimentos na Chicago board of trade

Viability of introducing milk futures contracts in Brazil: a multiple criteria decision analysis