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Abstract
This paper examines structural breaks in the vertical price relationships in U.S. beef/cattle
and pork/hog sectors using monthly data of the past 40 years. A major methodological
issue addressed is how to estimate price relationships when data contain intermittent
structural breaks with unknown break dates. The adopted procedures endogenously search
for structural break dates while explicitly accounting for this search in statistical inferences.
Four breaks for the beef/cattle price relationship and three breaks for the pork/hog
price relationship are identified. The estimation results further confirm the importance of
allowing for structural breaks in the analysis of vertical price relationships.