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Dynamic Econometric Modeling Of The U.S. Wheat Grain Market, Carlos Walter Robledo

LSU Doctoral Dissertations

Structural-time series models have not gained much ground in commodity market modeling despite the overwhelming popularity of time series approaches in forecasting and dynamic analyses. This dissertation contributes by applying developments in seasonal cointegration and structural-time series analysis (e.g., Zellner and Palm (1974); Hsiao (1997); Lee (1992); Franses and Kunst (1999); Ghysels and Osborn, 2001) to the study of agricultural commodity markets. The focus is on three research themes. The first theme investigates the role of cointegration and seasonal cointegration for market data, an issue considered timely because most applications assume deterministic seasonal components. The second issue breaks new ground …