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Forecasting Seasonally Cointegrated Systems: Supply Response in Austrian Agriculture

Author

Listed:
  • Jumah, Adusei

    (Federal Institute of Agricultural Economics)

  • Kunst, Robert M.

    (Department of Economics, Institute for Advanced Studies, Vienna)

Abstract

This paper examines the relevance of incorporating seasonality in agricultural supply models. Former studies have eliminated the problem of seasonality by using seasonally adjusted data. Recent developments in cointegration techniques allow the comprehensive modelling of error-correcting structures in the presence of seasonality. We consider a four-variables model for Austrian agriculture. Series on the producer price for soy beans, bulls and pigs, as well as the stock of breeding sows are included. A vector autoregression incorporating seasonal cointegration is estimated. A tentative interpretation of long-run and seasonal features is considered. The model is also used to generate forecasts for the supply of pigs in Austria.

Suggested Citation

  • Jumah, Adusei & Kunst, Robert M., 1995. "Forecasting Seasonally Cointegrated Systems: Supply Response in Austrian Agriculture," Economics Series 11, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihsesp:11
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    File URL: https://irihs.ihs.ac.at/id/eprint/847
    File Function: First version, 1995
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    Cited by:

    1. Adusei Jumah, 2004. "The long run, market power and retail pricing," Empirical Economics, Springer, vol. 29(3), pages 605-620, September.

    More about this item

    Keywords

    Seasonality; Agricultural Supply Response; Cointegration; Time Series;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices

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