Structural breaks in the cattle price series in the State of São Paulo, Brazil

Shikida, Cláudio Djissey; Paiva, Guilherme Leite; Junior, Ari Francisco de Araujo

doi:10.11606/1413-8050/ea137759

Cited by 8 publications

(10 citation statements)

References 34 publications

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“…The presence of non-stationarity and the presence of structural breaks are factors that influence each other simultaneously [39]. As the controversy between stationarity and structural break in time series is an unresolved issue, we will perform the unit root contrast and evaluate the behavior of the series.…”

Section: Methods Issuesmentioning

confidence: 99%

“…Kramer et al [47] discuss limits for both tests, and some authors conclude that the version with OLS residues performs better in detecting breaks near the end of the series. Other authors have developed a literature review on these tests, their applications, relationships, and consistency [39,48,49].…”

Section: Structural Methodsmentioning

confidence: 99%

“…Several tests were developed to analyze stability and structural breaks. Some authors have conducted a review of the literature on the issue of unit roots and structural breaks [39,49,51,52]. For these points, it is worth mentioning the works of [53,54].…”

Section: Structural Methodsmentioning

confidence: 99%

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Portuguese Agrifood Sector Resilience: An Analysis Using Structural Breaks Applied to International Trade

Oliveira,

Reis

2023

Agriculture

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In the last two decades, Portugal suffered the effects of two global crises, the financial crisis and the COVID-19 pandemic, as well as the Common Agriculture Policy reforms. These crises had a great impact on the Portuguese economy, but it is completely unclear how they affected the dynamics of the Portuguese agrifood sector. This study’s objective is to analyze the resilience of this sector to European and global socks, testing the effects on international trade. Secondary data from the Portuguese Statistics Institute were used for the exports and imports trade series of animal and vegetable products and food industries from 2000 to 2020. The methodology was based on the structural xtbreak model, stability analysis, and tests for structural breaks. Some volatility was observed in the trade series, particularly in imports, without consistency among years, trade sectors, or imports versus exports trade. In the case of exports, one or two structural breaks in the different sectors occurred in different years. The most relevant dynamics occurred after the sovereign debt crisis. It was concluded that CAP reforms and global crises seem to not have caused new relevant dynamics in the Portuguese international agrifood trade. This revealed the resilience of the sector to external shocks.

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Section: Methods Issuesmentioning

confidence: 99%

Section: Structural Methodsmentioning

confidence: 99%

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Portuguese Agrifood Sector Resilience: An Analysis Using Structural Breaks Applied to International Trade

Oliveira,

Reis

2023

Agriculture

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“…Além de diagnosticar a presença de sazonalidade e ciclos, seu comportamento também pode apresentar mudanças graduais ou repentinas, chamadas de fraturas estruturais. Devido a uma interrupção durante o período de amostragem utilizado, os resultados podem ser alterados, afetando assim a análise (SHIKIDA et al, 2016).…”

Section: Introductionunclassified

Modelagem Probabilística De Preços Máximos Da Commodity Boi Gordo Para O Estado De São Paulo

Filho

Liska

Santos

et al. 2022

NAT

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No cenário econômico, estudar o comportamento de preços de produtos, commodities ou indicadores torna possível a realização de previsões, permitindo elaboração de projeções de risco com maior precisão e, quando ocorrem eventos extremos desses preços, perdas, ou até mesmo falências podem ocorrer. Nesse sentido, a Teoria de Valores Extremos (TVE) trata de maneira adequada tais fenômenos. Foram utilizados os dados econômicos do CEPEA - ESALQ compreendida entre o período de 1997 a 2020, organizados em séries de máximos mensais e, para cada série, as distribuições Gumbel, Generalizada de Valores Extremos (GVE) e suas versões não-estacionárias foram consideradas. Pôde-se constatar que as distribuições Gumbel e GVE se ajustaram em todos os meses e os indicadores de qualidade de ajuste atestam que a distribuição Gumbel é a mais adequada em todos os meses. Nos meses de abril a outubro existe uma ligeira menor probabilidade dos preços serem superados e nos meses de novembro a fevereiro são os meses com maior probabilidade de ocorrência de altos preços de boi gordo. Pelo teste de Mann-Kendall constatou-se tendência em todas as séries, a qual foi incorporada na distribuição Gumbel não-estacionária, e o teste de razão de verossimilhanças e AIC mostraram-se favoráveis quanto à modelagem da tendência. Palavras-chave: planejamento rural; economia aplicada; distribuição Gumbel; valor de retorno; estatística aplicada. Probabilistic modeling of maximum commodity fat ox prices for the state of São Paulo ABSTRACT: In the economic scenario, studying the behavior of prices of products, commodities or indicators makes it possible to make forecasts, allowing the elaboration of risk projections with greater precision and, when extreme events of these prices occur, losses or even bankruptcies can occur. In this sense, the Extreme Value Theory (EVT) is more suitable such phenomena. Economic data from CEPEA - ESALQ covering the period from 1997 to 2020 were used, organized in series of monthly maximums and, for each series, the Gumbel, Generalized Extreme Values (GVE) distributions and their non-stationary versions were considered. It could be seen that the Gumbel and GVE distributions fit in every month and the goodness-of-fit attest that the Gumbel distribution is the most suitable in every month. In the months of April to October there is a slight lower probability of prices being exceeded and in the months of November to February are the months with the highest probability of occurrence of high fat ox prices. The Mann-Kendall test was used for testing the trend in all series, which was incorporated into the non-stationary Gumbel distribution, and the likelihood ratio test and AIC were favorable in terms of trend modeling. Keywords: rural planning; applied economics; gumbel distribution; return value; applied statistics.

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“…Os testes continuam a cada identificação de nova quebra estrutural até que a hipótese nula de ausência de quebra não seja rejeitada para cada subdivisão da série temporal. (Shikida et al, 2016) Esse teste é importante pois, de acordo com Kim (2009), é necessário que os fundamentos monetários sigam uma tendência estacionária para que seja possível realizar estimações e previsões acerca do modelo monetário utilizandose o conceito de aprendizado econométrico.…”

Section: 12unclassified

O Forward Premium Puzzle Nas Moedas Dos Países Emergentes: Uma Análise Baseada No Aprendizado Econométrico

GONZAGA¹

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Structural breaks in the cattle price series in the State of São Paulo, Brazil

Cited by 8 publications

References 34 publications

Portuguese Agrifood Sector Resilience: An Analysis Using Structural Breaks Applied to International Trade

Portuguese Agrifood Sector Resilience: An Analysis Using Structural Breaks Applied to International Trade

Modelagem Probabilística De Preços Máximos Da Commodity Boi Gordo Para O Estado De São Paulo

O Forward Premium Puzzle Nas Moedas Dos Países Emergentes: Uma Análise Baseada No Aprendizado Econométrico

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