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| Babula, Ronald A.; Newman, Douglas; Rogowsky, Robert A.. |
| The methods of the cointegrated vector autoregression (VAR) 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, we apply Johansen and Juselius' advanced procedures to these markets for perhaps the first time, with focus on achievement of a statistically adequate model through analysis of a battery of advanced statistical diagnostic tests and on exploitation of the system's cointegration properties through rank restrictions, statistically supported hypotheses test restrictions, and inference. The VEC model results illuminate the estimates of crucial policy-relevant market parameters that drive these markets, as well as the dynamic nature of the... |
| Tipo: Journal Article |
Palavras-chave: Agribusiness. |
| Ano: 2006 |
URL: http://purl.umn.edu/9084 |
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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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