186 research outputs found

    COMMODITY PRICES AND UNIT ROOT TESTS

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    Endogenous variables in structural models of agricultural commodity markets are typically treated as stationary. Yet, tests for unit roots have rather frequently implied that commodity prices are not stationary. This seeming inconsistency is investigated by focusing on alternative specifications of unit root tests. We apply various specifications to Illinois farm prices of corn, soybeans, barrows and gilts, and milk for the 1960 through 2002 time span. The preponderance of the evidence suggests that nominal prices do not have unit roots, but under certain specifications, the null hypothesis of a unit root cannot be rejected, particularly when the logarithms of prices are used. If the test specification does not account for a structural change that shifts the mean of the variable, the results are biased toward concluding that a unit root exists. In general, the evidence does not favor the existence of unit roots.Marketing,

    COMMODITY PRICES AND UNIT ROOT TESTS

    Get PDF
    Endogenous variables in structural models of agricultural commodity markets are typically treated as stationary. Yet, tests for unit roots have rather frequently implied that commodity prices are not stationary. This seeming inconsistency is investigated by focusing on alternative specifications of unit root tests. We apply various specifications to Illinois farm prices of corn, soybeans, barrows and gilts, and milk for the 1960 through 2002 time span. The preponderance of the evidence suggests that nominal prices do not have unit roots, but under certain specifications, the null hypothesis of a unit root cannot be rejected, particularly when the logarithms of prices are used. If the test specification does not account for a structural change that shifts the mean of the variable, the results are biased toward concluding that a unit root exists. In general, the evidence does not favor the existence of unit roots.Research Methods/ Statistical Methods,

    Characterizing Distributions of Class III Milk Prices: Implications for Risk Management

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    Descriptive statistics and time-series econometric models are used to characterize the behavior of monthly fluid milk prices. Prices in April, May and June appear to be more variable than those in subsequent months, and the spring-time prices are perhaps skewed. Econometric models can capture the historical behavior of spot prices, but forecasts converge to the marginal distribution of the sample prices in about six months. Futures prices for Class III milk have the expected time-to-maturity effect and converge to the respective monthly distributions of the cash prices at contract maturity (as they must, since the contracts are cash settled). Thus, econometric models and futures quotes provide similar information about price behavior at contract maturity. Routine hedges in futures, especially those made four or more months prior to maturity, reduce the variance of returns, but over a period of years, lock-in an "average" return. While econometric models and futures quotes provide imprecise forecasts, they can be used in conjunction with historical data to determine whether expected prices are high relative to past experience. This may assist with making decisions about selective hedging. Likewise, historical evidence may be useful in evaluating expected returns from the use of put options. Results from simple hedging strategies using either futures or puts are illustrated, but more work is needed to evaluate "optimal" portfolios for dairy farmers.hedging, marketing strategies, milk futures, milk prices, risk management, Risk and Uncertainty,

    Commodity Prices and Unit Root Tests

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    WP 2004-07 May 2004Endogenous variables in structural models of agricultural commodity markets are typically treated as stationary. Yet, tests for unit roots have rather frequently implied that commodity prices are not stationary. This seeming inconsistency is investigated by focusing on alternative specifications of unit root tests. We apply various specifications to Illinois farm prices of corn, soybeans, barrows and gilts, and milk for the 1960 through 2002 time span. The preponderance of the evidence suggests that nominal prices do not have unit roots, but under certain specifications, the null hypothesis of a unit root cannot be rejected, particularly when the logarithms of prices are used. If the test specification does not account for a structural change that shifts the mean of the variable, the results are biased toward concluding that a unit root exists. In general, the evidence does not favor the existence of unit roots

    Three classes of new optimal cyclic (r,δ)(r,\delta) locally recoverable codes

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    An (r,δ)(r, \delta)-locally repairable code ((r,δ)(r, \delta)-LRC for short) was introduced by Prakash et al. for tolerating multiple failed nodes in distributed storage systems, and has garnered significant interest among researchers. An (r,δ)(r,\delta)-LRC is called an optimal code if its parameters achieve the Singleton-like bound. In this paper, we construct three classes of qq-ary optimal cyclic (r,δ)(r,\delta)-LRCs with new parameters by investigating the defining sets of cyclic codes. Our results generalize the related work of \cite{Chen2022,Qian2020}, and the obtained optimal cyclic (r,δ)(r, \delta)-LRCs have flexible parameters. A lot of numerical examples of optimal cyclic (r,δ)(r, \delta)-LRCs are given to show that our constructions are capable of generating new optimal cyclic (r,δ)(r, \delta)-LRCs

    The Weight Hierarchies of Linear Codes from Simplicial Complexes

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    The study of the generalized Hamming weight of linear codes is a significant research topic in coding theory as it conveys the structural information of the codes and determines their performance in various applications. However, determining the generalized Hamming weights of linear codes, especially the weight hierarchy, is generally challenging. In this paper, we investigate the generalized Hamming weights of a class of linear code \C over \bF_q, which is constructed from defining sets. These defining sets are either special simplicial complexes or their complements in \bF_q^m. We determine the complete weight hierarchies of these codes by analyzing the maximum or minimum intersection of certain simplicial complexes and all rr-dimensional subspaces of \bF_q^m, where 1\leq r\leq {\rm dim}_{\bF_q}(\C)

    Two classes of reducible cyclic codes with large minimum symbol-pair distances

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    The high-density data storage technology aims to design high-capacity storage at a relatively low cost. In order to achieve this goal, symbol-pair codes were proposed by Cassuto and Blaum \cite{CB10,CB11} to handle channels that output pairs of overlapping symbols. Such a channel is called symbol-pair read channel, which introduce new concept called symbol-pair weight and minimum symbol-pair distance. In this paper, we consider the parameters of two classes of reducible cyclic codes under the symbol-pair metric. Based on the theory of cyclotomic numbers and Gaussian period over finite fields, we show the possible symbol-pair weights of these codes. Their minimum symbol-pair distances are twice the minimum Hamming distances under some conditions. Moreover, we obtain some three symbol-pair weight codes and determine their symbol-pair weight distribution. A class of MDS symbol-pair codes is also established. Among other results, we determine the values of some generalized cyclotomic numbers
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