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Nonlinear Vector Error Correction Models in Price Transmission Analysis: Threshold Models vs. Markov-Switching Models AgEcon
Ihle, Rico; von Cramon-Taubadel, Stephan.
This work provides a comparison of methodologies for applied research in price transmission analysis. We compare two regime-dependent econometric models, namely the threshold vector error correction model and the Markov-switching vector error correction model. We first provide a conceptual comparison in which we find that the regime-switching mechanisms of the models differ fundamentally so that each model is suitable for a certain type of nonlinear price trans-mission. Furthermore, we conduct a Monte Carlo experiment in order to study the performance of each of the models’ estimation techniques for simulated data. Although each model possesses an immediate economic interpretation which well matches an aspect of the theory of price transmission, the...
Tipo: Conference Paper or Presentation Palavras-chave: Price transmission; Threshold vector error correction model; Markov-switching vector error correction model; Demand and Price Analysis.
Ano: 2008 URL: http://purl.umn.edu/44198
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A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis AgEcon
Ihle, Rico; von Cramon-Taubadel, Stephan.
We compare two regime-dependent econometric models for price transmission analysis, namely the threshold vector error correction model and Markov-switching vector error correction model. We first provide a detailed characterization of each of the models which is followed by a comprehensive comparison. We find that the assumptions regarding the nature of their regime-switching mechanisms are fundamentally different so that each model is suitable for a certain type of nonlinear price transmission. Furthermore, we conduct a Monte Carlo experiment in order to study the performance of the estimation techniques of both models for simulated data. We find that both models are adequate for studying price transmission since their characteristics match the underlying...
Tipo: Conference Paper or Presentation Palavras-chave: Price transmission; Market integration; Threshold vector error correction model; Markov-switching vector error correction model; Comparison; Nonlinear time series analysis; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/37603
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