Document Type
Article
Publication Date
11-13-2024
Keywords
Cattle market, Events study, Markov regime-switching model
Abstract
This research introduces a new method for event studies in time-series analysis named the Markov regime-switching event response model (MS-ERM). The MS-ERM is a comprehensive approach that integrates two different event study approaches: 1) measuring the impact of an event through structural shift and 2) measuring the impact via additional distributional components. As an empirical application, the study measures the impact of beef-packing plant closures on the weekly live-to-cutout beef price spread. The results indicate that the MS-ERM is a promising tool for event studies, particularly when an empirical dataset has both groups of events that cause and do not cause structural changes.
Citation
Park, E., Boyer, C.N. & Neill, C.L. A Markov regime-switching event response model: beef price spread response to processing capacity shocks. Empir Econ 68, 1039–1071 (2025). https://doi.org/10.1007/s00181-024-02677-x
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Comments
Appendices are available through the original publication.