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| Using Quantile Regression Approach to Analyze Price Movements of Agricultural Products in China |
| LI Gan-qiong, XU Shi-wei, LI Zhe-min, SUN Yi-guo , DONG Xiao-xia |
1.Agricultural Information Institute, Chinese Academy of Agricultural Sciences/Key Laboratory of Agri-information Service Technology,Ministry of Agriculture/Key Laboratory of Digital Agricultural Early Warning Technology and System, Chinese Academy of Agricultural Sciences, Beijing 100081, P.R.China
2.Department of Economics, University of Guelph, Ontario N1G2W1, Canada |
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摘要 This paper studies how the price movements of pork, chicken and egg respond to those of related cost factors in short terms in Chinese market. We employ a linear quantile approach not only to explore potential data heteroscedasticity but also to generate confidence bands for the purpose of price stability study. We then evaluate our models by comparing the prediction intervals generated from the quantile regression models with in-sample and out-of-sample forecasts. Using monthly data from January 2000 to October 2010, we observed these findings: (i) the price changes of cost factors asymmetrically and unequally influence those of the livestock across different quantiles; (ii) the performance of our models is robust and consistent for both in-sample and out-of-sample forecasts; (iii) the confidence intervals generated from 0.05th and 0.95th quantile regression models are good methods to forecast livestock price fluctuation.
Abstract This paper studies how the price movements of pork, chicken and egg respond to those of related cost factors in short terms in Chinese market. We employ a linear quantile approach not only to explore potential data heteroscedasticity but also to generate confidence bands for the purpose of price stability study. We then evaluate our models by comparing the prediction intervals generated from the quantile regression models with in-sample and out-of-sample forecasts. Using monthly data from January 2000 to October 2010, we observed these findings: (i) the price changes of cost factors asymmetrically and unequally influence those of the livestock across different quantiles; (ii) the performance of our models is robust and consistent for both in-sample and out-of-sample forecasts; (iii) the confidence intervals generated from 0.05th and 0.95th quantile regression models are good methods to forecast livestock price fluctuation.
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Received: 27 July 2011
Accepted:
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| Fund: This work was supported by the Key Project of National Key Technology R&D Program of China (2009BADA9B01). |
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Corresponding Authors:
Correspondence XU Shi-wei, Tel: +86-10-82109902, E-mail: xushiwei@mail.caas.net.cn
E-mail: xushiwei@mail.caas.net.cn
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| About author: LI Gan-qiong, Tel: +86-10-82109349-8, E-mail: lgqxjf@caas.net.cn |
Cite this article:
LI Gan-qiong, XU Shi-wei, LI Zhe-min, SUN Yi-guo , DONG Xiao-xia.
2012.
Using Quantile Regression Approach to Analyze Price Movements of Agricultural Products in China. Journal of Integrative Agriculture, 12(4): 674-683.
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