Using Quantile Regression Approach to Analyze Price Movements of Agricultural Products in China

文献类型： 外文期刊

第一作者： Li Gan-qiong

作者： Li Gan-qiong;Xu Shi-wei;Li Zhe-min;Dong Xiao-xia;Sun Yi-guo

作者机构：

关键词： cost factors;agricultural products;forecasting;price movements;quantile regression model

期刊名称：JOURNAL OF INTEGRATIVE AGRICULTURE （ 影响因子：2.848； 五年影响因子：2.979 ）

ISSN： 2095-3119

年卷期： 2012 年 11 卷 4 期

页码：

收录情况： SCI

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.

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