Data/hora: 11/06/2024 14:52:09

Provedor de dados: | 31
País: | United States
Título: | A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis
Autores: | Ihle,   Rico; von Cramon-Taubadel,   Stephan.
Data: | 2008-06-26
Ano: | 2008
Palavras-chave: | Price transmission; Market integration; Threshold vector error correction model; Markov-switching vector error correction model; Comparison; Nonlinear time series analysis; Agricultural Finance.
Resumo: | 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 economic theory and allow hence for an easy interpretation. Nevertheless, the results of the corresponding estimation techniques do not reproduce the true parameters and are not robust against nuisance parameters. The comparison is supplemented by a review of empirical studies in price transmission analysis in which mostly the threshold vector error correction model is applied.
Tipo: | Conference Paper or Presentation
Idioma: | Inglês
Identificador: | http://purl.umn.edu/37603

Relação:

NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management&gt;2008 Conference, April 21-22, 2008, St. Louis, Missouri

2008 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Formato: | 48