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| Babula, Ronald A.; Newman, Douglas. |
| The methods of the cointegrated vector autoregression/error correction (VAR/VEC) model are applied to monthly U.S. markets for sugar and for sugar-using markets for confectionary, soft drink, and bakery products. Primarily a methods paper, Johansen and Juselius' methods are applied, with a special focus on addressing well-known issues that preclude statistically normal behavior, and that confront the modelled sugar-based data. In so doing, we illustrate the effectiveness and the benefits of modelling this sugar-related set of markets as a cointegrated system. Perhaps for the first time, cointegrated VEC model results are used to estimate crucial policy-relevant market parameters that drive the markets, as well as to illuminate the dynamic nature of the... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Cointegration; Sugar-based U.S. markets; Vector autoregression; Vector error correction models; Industrial Organization; Research Methods/ Statistical Methods. |
| Ano: 2005 |
URL: http://purl.umn.edu/15878 |
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