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Do Forest Products Prices Display Long Memory?

2012· article· en· W2110243317 on OpenAlexaffvenue
Kurt Niquidet, Lili Sun

Bibliographic record

VenueCanadian Journal of Agricultural Economics/Revue canadienne d agroeconomie · 2012
Typearticle
Languageen
FieldEnvironmental Science
TopicForest Management and Policy
Canadian institutionsCanadian Forest Service
Fundersnot available
KeywordsComputer scienceBusiness

Abstract

fetched live from OpenAlex

The behavior of forest products prices has large implications for forest management and policy. Decisions such as the timing of harvesting and investment in new plantations depend on future price expectations and policy makers often are concerned about the persistence of price shocks for stabilization purposes. Previous research on the topic has been mixed and focused on the question of whether prices are integrated of order one (i.e., have a unit root) and are nonstationary or if they are integrated of order zero and are stationary and mean‐reverting. In an effort to understand the price process for two key forest products (lumber and pulp), time‐series tests were applied to over 40 years of monthly pricing data. Using a modified Dickey–Fuller test, we rejected the null hypothesis of a unit root on most series. However, a separate test also soundly rejected a stationary null hypothesis. Such a finding led us to test whether forest products prices are fractionally integrated, exhibiting long memory. Estimates of the memory parameter (d) for various lumber price series ranged between 0.68 and 0.81 and for pulp it was 0.64. This implies that prices are both mean‐reverting (in the sense that shocks die out) and nonstationary. Le comportement des prix des produits forestiers a d’importantes répercussions sur la gestion et la politique forestières. Certaines décisions, telles que le choix du moment de la récolte et les investissements dans de nouvelles plantations, dépendent des anticipations quant aux prix futurs et, souvent, les décideurs sont préoccupés par la persistance des chocs de prix pour des raisons de stabilisation. Les travaux de recherche antérieurs ont été variés et visaient à déterminer si les prix étaient intégrés de l’ordre 1 (c.‐à‐d. avec une racine unitaire) et non stationnaires ou s’ils étaient intégrés de l’ordre 0, stationnaires, avec une tendance au retour à la moyenne. Afin de comprendre le processus de prix de deux produits forestiers clés (bois d’œuvre et pâte), nous avons effectué une analyse de séries chronologiques comprenant des données de prix mensuelles recueillies sur une période de plus de 40 ans. À l’aide d’un test de Dickey‐Fuller modifié, nous avons rejeté l’hypothèse nulle de la présence d’une racine unitaire dans la plupart des séries. Un autre test a également permis de rejeter sans équivoque l’hypothèse nulle de stationnarité. Ces résultats nous ont amenés à vérifier si les prix des produits forestiers étaient fractionnellement intégrés et présentaient une mémoire longue. Les estimations du paramètre de mémoire (d) de diverses séries de prix variaient de 0,68 à 0,81 pour le bois d’œuvre et s’établissaient à 0,64 pour la pâte. Ces résultats autorisent à penser que les prix ont une tendance au retour à la moyenne (dans le sens où les chocs disparaissent) et qu’ils sont non stationnaires.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.001
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMeta-epidemiology (narrow), Insufficient payload (model declined to judge)
Consensus categoriesInsufficient payload (model declined to judge)
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Observational · Consensus signal: Observational
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.731
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0010.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.002
Open science0.0010.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0030.001

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.016
GPT teacher head0.170
Teacher spread0.154 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; both teacher heads agree on what is shown here.

Study designObservational
Domainnot available
GenreEmpirical

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations8
Published2012
Admission routes2
Has abstractyes

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