Structural Changes in Wheat Market
| dc.creator | Czech, Katarzyna | |
| dc.date | 2017-04-01T20:06:11Z | |
| dc.date.accessioned | 2026-07-09T11:09:04Z | |
| dc.description | Time series analysis is based on the assumption of stationarity. Stationarity implies the parameters are constant over time. Structural break occurs when at least one of the parameters changes at some date. Structural breaks can lead to huge forecasting errors and unreliability of the model. Modelling structure breaks is very popular in the literature of macroeconomics and finance. However, there are still too few publications about structural breaks in agricultural market. The goal of research is to identify structural breaks in wheat prices time series. A few structural break tests are applied. It has been shown that there is at least one significant structural break in the analysed time series. Both Quandt-Andrews and Bai-Perron tests show that there is a significant breakpoint in 12.09.2007. The estimated break date is associated with the beginning of global financial crisis. It may imply that wheat prices have become more prone to changes in global financial market. | |
| dc.identifier | Other:ISSN 2081-6960 | |
| dc.identifier | doi:10.22004/ag.econ.253044 | |
| dc.identifier | https://ageconsearch.umn.edu/record/253044/files/2016_4_9.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/253044 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/625139 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/253044 | |
| dc.title | Structural Changes in Wheat Market | |
| dc.type | Text |