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	Provedor de dados 31 (2) Autor Awad Abdel Hameed, Amna (1) Mohamed Arshad, Fatimah (1) Rambaldi, Alicia N. (1) Zapata, Hector O. (1) Palavra-chave Causality tests (2) Cointegration (2) Agribusiness (1) Demand and Price Analysis (1) Likelihood ratio (1) Marketing (1) Monte Carlo Experiments (1) Petroleum prices (1) Q11 Agricultural Prices (1) Research Methods/ Statistical Methods (1) Vegetable oils prices (1) Wald statistic (1) Mais... Tipo do documento Conference Paper or Presentation (1) Working or Discussion Paper (1) Ano 2008 (1) 1996 (1) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última MONTE CARLO EVIDENCE ON COINTEGRATION AND CAUSATION 31 Zapata, Hector O.; Rambaldi, Alicia N.. The small sample performance of Granger causality tests under different model dimensions, degree of cointegration, direction of causality, and system stability are presented. Two tests based on maximum likelihood estimation of error-correction models (LR and WALD) are compared to a Wald test based on multivariate least squares estimation of a modified VAR (MWALD). In large samples all test statistics perform well in terms of size and power. For smaller samples, the LR and WALD tests perform better than the MWALD test. Overall, the LR test outperforms the other two in terms of size and power in small samples. Tipo: Working or Discussion Paper Palavras-chave: Causality tests; Cointegration; Likelihood ratio; Wald statistic; Monte Carlo Experiments; Research Methods/ Statistical Methods. Ano: 1996 URL: http://purl.umn.edu/31690 THE IMPACT OF PETROLEUM PRICES ON VEGETABLE OILS PRICES: EVIDENCE FROM COINTEGRATION TESTS 31 Awad Abdel Hameed, Amna; Mohamed Arshad, Fatimah. This paper investigate the long-term relationship between the petroleum and vegetable oils prices represented by palm, soybean, sunflower and rapeseed oils prices. To that end, the bivariate cointegration approach using Engle-Granger two-stage estimation procedure is applied. The study utilises monthly data over the period of January 1983 through March 2008. The results provide a strong evidence of long-run equilibrium relation between the two products prices. The estimates of the error correction models reveal a unidirectional long-run causality flowing from petroleum to each of the vegetable oils prices under study. Tipo: Conference Paper or Presentation Palavras-chave: Vegetable oils prices; Petroleum prices; Cointegration; Causality tests; Agribusiness; Demand and Price Analysis; Marketing; Q11 Agricultural Prices. Ano: 2008 URL: http://purl.umn.edu/46251 Registros recuperados: 2 Primeira ... 1 ... Última

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