Application of Vector Autoregression to Dynamic Relationships within the U.S. Dairy Sector

Numerous studies have econometrically analyzed the dairy sector and effects of alternative dairy policies. While many of these studies have included dynamic aspects, often strict a priori assumptions have been made concerning which variables enter each equation and the lag length or the structure of the lags. Vector autoregression is a dynamic multiequation technique that places few a priori restrictions on the system of relationships. This study attempts to analyze several of the dynamic relationships in the dairy sector utilizing a vector autoregression.