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Wiley InterScience | |||||||||||
  American Journal of Agricultural EconomicsVolume 88 Issue 1, Pages 215 - 233 Published Online: 19 Jan 2006 © 2009 Agricultural and Applied Economics Association
Abstract | References | Full Text: HTML, PDF (Size: 637K) | Related Articles | Citation Tracking 
Nonlinear Dynamics and Structural Change in the U.S. Hog–Corn Cycle: A Time-Varying STAR Approach
We thank seminar participants at North Carolina State University, Purdue University, the Stockholm School of Economics, Ball State University, Eastern Carolina University, and the Triangle Universities Economic History Workshop for useful comments on earlier drafts. We also thank Atsushi Inoue, Jean-Paul Chavas, Bruno Eklund, the editor, Chris Barrett, and two anonymous referees for their numerous constructive comments. We are especially grateful to Timo Teräsvirta and Dick van Dijk for their many useful suggestions and patient advice. Of course the usual caveat applies. Finally, we thank the North Carolina Agricultural Research Service and the North Carolina State International Programs Office for supporting this research. Copyright 2006 American Agricultural Economics Association KEYWORDS hog–corn cycle • nonlinearity • structural change • time-series models ABSTRACTThe linearity of the U.S. hog–corn cycle has been questioned by Chavas and Holt (1991). Even so, attempts have not been made to model the potential nonlinear dynamics in the hog–corn cycle by using regime-switching models. One popular alternative is Teräsvirta's smooth transition autoregressive (STAR) model, which assumes regime switching is endogenous and potentially smooth. In this article, we examine monthly data for the U.S. hog–corn cycle, 1910–2004. A member of the STAR family, the time-varying STAR, is fitted to the data and its properties examined. We find evidence of nonlinearity, regime-dependent behavior, and time-varying parameter change. [Received December 2004; accepted May 2005.] | 
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