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Joint Modeling And Simulation Of Autocorrelated Non-Normal Time Series: An Application To Risk And Return Analysis

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  • Ramirez, Octavio A.
  • Somarriba, Eduardo

Abstract

This study presents a technique that can jointly model and simulate the expected values, variances, and covariances of sets of correlated time-series dependent variables that are autocorrelated and non-normal (right or left skewed and/or kurtotic). It illustrates the method by applying it to risk analysis of diversified tropical agroforestry systems.

Suggested Citation

  • Ramirez, Octavio A. & Somarriba, Eduardo, 1999. "Joint Modeling And Simulation Of Autocorrelated Non-Normal Time Series: An Application To Risk And Return Analysis," 1999 Annual meeting, August 8-11, Nashville, TN 21564, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea99:21564
    DOI: 10.22004/ag.econ.21564
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    File URL: https://ageconsearch.umn.edu/record/21564/files/sp99ra01.pdf
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    References listed on IDEAS

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    1. Gallagher, Paul W., 1987. "U.S. Soybean Yields: Estimation and Forecasting with Non-Symmetric Disturbances," Staff General Research Papers Archive 10779, Iowa State University, Department of Economics.
    2. Meyer, Jack, 1977. "Choice among distributions," Journal of Economic Theory, Elsevier, vol. 14(2), pages 326-336, April.
    3. Octavio A. Ramírez, 1997. "Estimation and Use of a Multivariate Parametric Model for Simulating Heteroskedastic, Correlated, Nonnormal Random Variables: The Case of Corn Belt Corn, Soybean, and Wheat Yields," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(1), pages 191-205.
    4. McDonald, James B., 1989. "Partially adaptive estimation of ARMA time series models," International Journal of Forecasting, Elsevier, vol. 5(2), pages 217-230.
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    Cited by:

    1. Ramirez, Octavio A. & Somarriba, Eduardo, 2000. "Risk And Returns Of Diversified Cropping Systems Under Nonnormal, Cross-, And Autocorrelated Commodity Price Structures," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 25(2), pages 1-16, December.

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