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	Provedor de dados AgEcon (1) Autor Ihle, Rico (1) von Cramon-Taubadel, Stephan (1) Palavra-chave Agricultural Finance (1) Comparison (1) Market integration (1) Markov-switching vector error correction model (1) Nonlinear time series analysis (1) Price transmission (1) Threshold vector error correction model (1) Mais... Tipo do documento Conference Paper or Presentation (1) Ano 2008 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última 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 Registros recuperados: 1 Primeira ... 1 ... Última

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