Skip to Main Content
U.S. Forest Service
Caring for the land and serving people

United States Department of Agriculture

Home > Search > Publication Information

  1. Statistical power of intervention analyses: simulation and empirical application to treated lumber prices

    Share via EmailShare on FacebookShare on LinkedInShare on Twitter
    Dislike this pubLike this pub
    Author(s): Jeffrey P. Prestemon
    Date: 2009
    Source: Forest Science, Vol. 55(1): 48-63
    Publication Series: Scientific Journal (JRNL)
    PDF: Download Publication  (305 KB)

    Description

    Timber product markets are subject to large shocks deriving from natural disturbances and policy shifts. Statistical modeling of shocks is often done to assess their economic importance. In this article, I simulate the statistical power of univariate and bivariate methods of shock detection using time series intervention models. Simulations show that bivariate methods are several times more statistically powerful than univariate methods when underlying series are nonstationary and potentially involved in cointegrating relationships. In an empirical application to detect the long-run price impacts of the voluntary phase-out of chromated copper arsenate in pressure-treating southern pine lumber for residential applications, I find the multivariate methods to be more powerful as well. I identify highly significant long-run price increases of 11% for two of three treated southern pine dimension lumber price series evaluated using multivariate approaches. The univariate method detected a long-run increase only for the third product, and the statistical significance was weak, although comparable, in magnitude to the first two products.

    Publication Notes

    • You may send email to pubrequest@fs.fed.us to request a hard copy of this publication.
    • (Please specify exactly which publication you are requesting and your mailing address.)
    • We recommend that you also print this page and attach it to the printout of the article, to retain the full citation information.
    • This article was written and prepared by U.S. Government employees on official time, and is therefore in the public domain.

    Citation

    Prestemon, Jeffrey P. 2009. Statistical power of intervention analyses: simulation and empirical application to treated lumber prices. Forest Science, Vol. 55(1): 48-63

    Keywords

    autoregression, cointegration, pine regulations, time series

    Related Search

    XML: View XML
Show More
Show Fewer
Jump to Top of Page
https://www.fs.usda.gov/treesearch/pubs/32578