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Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing? AgEcon
Mallory, Mindy L.; Lence, Sergio H..
This study highlights some problems with using the Johansen cointegration statistics on data containing a negative moving average (NMA) in the error term of the data generating process. We use a Monte Carlo experiment to demonstrate that the asymptotic distribution of the Johansen cointegration statistics is sensitive to the NMA parameters and that using the stated 5% critical values results in severe size distortion. In our experiment, using the asymptotic critical values resulted in empirical size of 76% in the worst case. To date a NMA in the error term was known to cause poor small sample performance of the Johansen cointegration statistics; however our study demonstrates that problems associated with a NMA in the error term do not improve as sample...
Tipo: Conference Paper or Presentation Palavras-chave: Cointegration; Johansen cointegration test; Moving average; Agricultural Finance; Financial Economics; C32; C15.
Ano: 2010 URL: http://purl.umn.edu/61721
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Price Dynamics in the North American Wheat Market AgEcon
Baek, Jungho; Koo, Won W..
This study examines price dynamics in the U.S. and Canadian hard red spring (HRS) and durum wheat markets. Using monthly prices for 1979-2002, we adopt Johansen cointegration tests and a vector error-correction (VEC) model. The results show that U.S. hard red winter (HRW) and Canadian HRS are exogenous in the model consisting of U.S. HRW and HRS and Canadian HRS prices. Canadian durum is exogenous in the model of U.S. and Canadian durum prices. Therefore, the results suggest that the HRW exporting industry and Canada have been the price leader in North American wheat markets.
Tipo: Conference Paper or Presentation Palavras-chave: Canadian wheat exports; Durum wheat; Hard red spring wheat; Johansen cointegration test; Unit root test with a structural break; Vector error-correction; Demand and Price Analysis.
Ano: 2005 URL: http://purl.umn.edu/19353
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