The Role of Mechanical Refrigeration in Spatial and Temporal Price Dynamics for Regional U.S. Egg Markets, 1880–1911

Craig, Lee and Holt, Matthew T. (2012): The Role of Mechanical Refrigeration in Spatial and Temporal Price Dynamics for Regional U.S. Egg Markets, 1880–1911.

Abstract

This paper examines the role of mechanical refrigeration in temporal and spatial price relationships for regional egg markets in the United States, 1880–1911. Notably, this period encompasses an era in which widespread adoption of mechanical refrigeration greatly impacted the ability to briefly store otherwise perishable items. This development in turn altered observed price dynamics for many perishable commodities, including fresh eggs. We use a class of time series models, time–varying autoregressions (TVARs), to document both the structural change and the corresponding impact on spatial price dynamics for U.S. regional egg price relationships during the late 19th and early 20th centuries.

• Item Type: MPRA Paper
• Language: English
• Keywords: Egg prices; Half life; Law of one price; Refrigeration; Structural change; Time–varying smooth transition autoregression
• Subjects: Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q1 - Agriculture > Q13 - Agricultural Markets and Marketing ; Cooperatives ; Agribusiness; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; R - Urban, Rural, Regional, Real Estate, and Transportation Economics > R1 - General Regional Economics > R11 - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes; N - Economic History > N9 - Regional and Urban History > N91 - U.S. ; Canada: Pre-1913

References

Aduddell, Robert M. and Louis P. Cain, “Location and Collusion in the Meat Packing Industry,” in Louis P. Cain and Paul J. Uselding, eds., Business Enterprise and Economic Change: Essays in Honor of Harold F. Williamson, Kent, Ohio: Kent State University Press, 1973, pp. xi, 323 p.

Aduddell, Robert M. and Louis P. Cain, “Public Policy Toward “The Greatest Trust in the World”,” The Business History Review, 1981, 55 (2), 217–242.

Akaike, Hirotugu, “A New Llook at the Statistical Model Identification,” IEEE Transactions on Automatic Control, December 1974, 19 (6), 716–723.

Anderson, Oscar E., Refrigeration in America: A History of a New Technology and Its Impact, Published for the University of Cincinnati by Princeton University Press, 1953.

Andrews, Donald W. K. and Werner Ploberger, “Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative,” Econometrica, November 1994, 62 (6), 1383–1414.

Bai, Jushan and Pierre Perron, “Estimating and Testing Linear Models with Multiple Structural Changes,” Econometrica, 1998, 66 (1), pp. 47–78.

Bai, Jushan and Pierre Perron , “Computation and Analysis of Multiple Structural Change Models,” Jour- nal of Applied Econometrics, 2003, 18 (1), pp. 1–22.

Balagtas, Joseph V. and Matthew T. Holt, “The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach,” American Journal of Agricultural Economics, 2009, 91 (1), 87–105.

Clark, Robert L., Lee A Craig, and Jack W. Wilson, A History of Public Sector Pensions in the United States, Philadelphia: University of Pennsylvania Press, 2003.

Craig, Lee A. and Matthew T. Holt, “Mechanical Refrigeration, Seasonality, and the Hog–Corn Cycle in the United States: 1870–1940,” Explorations in Economic History, 2008, 45 (1), 30–50.

Craig, Lee A., Barry Goodwin, and Thomas Grennes, “The Effect of Mechanical Refrigeration on Nutrition in the United States,” Social Science History, 2004, 28 (2), 325–336.

Davies, Robert B., “Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative,” Biometrika, 1977, 64 (2), pp. 247–254.

Davies, Robert B., “Hypothesis Testing when a Nuisance Parameter is Present Only Under the Alternatives,” Biometrika, 1987, 74 (1), pp. 33–43.

Dumas, B., “Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World,” The Review of Financial Studies, 1992, 5, 153–180.

Eitrheim, Øyvind and Timo Ter¨asvirta,“Testing the Adequacy of Smooth Transition Autoregressive Models,” Journal of Econometrics, September 1996, 74 (1), 59–75.

Eklund, Bruno, “A Nonlinear Alternative to the Unit Root Hypothesis,” Working Paper Series in Economics and Finance 547, Stockholm School of Economics November 2003.

Escribano, Alvaroand and `Oscar Jord`a, “Improved Testing and Specification of Smooth Transition Regression Models,” in Phillip Rothman, ed., Nonlinear Time Series Analysis of Economic and Financial Data, Kluwer Academic Publishers, 1999, pp. 289–319.

Ghoshray, Atanu, “Smooth Transition Effects in Price Transmission: The Case of International Wheat Export Prices,” Economics Letters, 2010, 106 (3), 169–171. Goodwin, B. K. and N. E. Piggott, “Spatial Market Integration In The Presence Of Threshold Effects,”American Journal of Agricultural Economics, 2001, 83 (2), 302–317.

Goodwin, Barry K., Matthew T. Holt, and Jeffrey P. Prestemon, “North American Oriented Strand Board Markets, Arbitrage Activity, and Market Price Dynamics: A Smooth Transition Approach,”American Journal of Agricultural Eco- nomics, 2011, 93 (4), 993–1014.

Goodwin, Barry K, Thomas J Grennes, and Lee A Craig, “Mechanical Refrigeration and the Integration of Perishable Commodity Markets,” Explorations in Economic History, 2002, 39 (2), 154–182.

Hannan, E. J. and B. G. Quinn, “The Determination of the Order of an Autoregression,” Journal of the Royal Statistical Society. Series B (Methodological), 1979, 41 (2), 190–195.

Hansen, Bruce E., “Inference in TAR Models,” Studies in Non- linear Dynamics & Econometrics, 1997, 2 (1). Retrieved from: http://www.bepress.com/snde/vol2/iss1/art1.

Holmes, George K., “Cold Storage and Prices,” Bureau of Statistics Bulletin No. 101, U.S. Department of Agriculture, Washington, D.C. 1913.

Holt, Matthew T. and Lee A. Craig, “Nonlinear Dynamics and Structural Change in the U.S. Hog˚UCorn Cycle: A Time-Varying STAR Approach,”American Journal of Agricultural Economics, 2006, 88 (1), 215–233.

Kilian, Lutz and Mark P. Taylor,“Why is it so Difficult to Beat the RandomWalk Forecast of Exchange Rates?,” Journal of International Economics, May 2003, 60 (1), 85–107.

Kujovich, Mary Yeager, “The Refrigerator Car and the Growth of the American Dressed Beef Industry,” The Business History Review, 1970, 44 (4), 460–482.

Lin, Chien-Fu Jeff and Timo Ter¨asvirta, “Testing the Constancy of Regression Parameters Against Continuous Structural Change,” Journal of Econometrics, 1994, 62 (2), 211–228.

Lo, Ming Chien and Eric Zivot, “Threshold Cointegration and Nonlinear Adjustment to the Law of One Price,” Macroeconomic Dynamics, 2001, 5 (04), 533–576.

Lukkonen, Ritva, Pentti Saikkonen, and Timo Ter¨asvirta, “Testing Linearity Against Smooth Transition Autoregressive Models,” Biometrika, 1988, 75 (3), 491– 499.

O’Connell, Paul G. J. and Shang-Jin Wei, “The Bigger They Are, the Harder They Fall: Retail Price Differences Across U.S. Cities,” Journal of International Economics, January 2002, 56 (1), 21–53.

Perron, Pierre, “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,” Econometrica, 1989, 57 (6), pp. 1361–1401.

Rossi, Barbara, “Confidence Intervals for Half-Life Deviations From Purchasing Power Parity,” Journal of Business & Economic Statistics, October 2005, 23, 432– 442.

Serra, Teresa and Barry K. Goodwin, “Regional Integration of Nineteenth Century U.S. Egg Markets,” Journal of Agricultural Economics, 2004, 55 (1), 59–74.

Serra, Teresa, Jos´e M. Gil, and Anthony Mancuso, “Non-parametric Modelling of Spatial Price Relationships,” Journal of Agricultural Economics, 2006, 57 (3), 501– 522.

Skalin, Joakim and Timo Ter¨asvirta, “Modeling Asymmetries and Moving Equilibria in Unemployment Rates,”Macroeconomic Dynamics, 2002, 6 (02), 202–241.

Ter¨asvirta, Timo, “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models,” Journal of the American Statistical Association, 1994, 89 (425), 208–218.

Ter¨asvirta, Timo, Dag Tjøstheim, and Clive W. J. Granger, Modelling Nonlinear Economic Time Series, Oxford University Press, 2010.

Tong, H. and K. S. Lim, “Threshold Autoregression, Limit Cycles and Cyclical Data,” Journal of the Royal Statistical Society. Series B (Methodological), 1980, 42 (3), 245–292.

van Dijk, Dick, Birgit Strikholm, and Timo Ter¨asvirta, “The Effects of Institutional and Technological Change and Business Cycle Fluctuations on Seasonal Patterns in Quarterly Industrial Production series,” Econometrics Journal, 2003, 6 (1), 79–98.

van Dijk, Timo Ter¨asvirta, and Philip Hans Franses, “Smooth Transition Autoregressive Models – A Survey Of Recent Developments,” Econometric Reviews, 2002, 21 (1), 1–47.