The introduction of seasonal unit roots and cointegration to test index aggregation optimality: An application to a Spanish farm price index

In this paper we present a methodological proposal of the way integration and cointegration analysis can best be used to test if the level of aggregation of an index is adequate. Using this proposal, we enquire the extent to which a Spanish aggregate farm price index captures the behavior of its components.

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Year of publication:	1999-08-16
Authors:	MartÎn-âlvarez, Francisco J. ; Cano-FernÂndez, Victor J. ; CÂceres-HernÂndez, JosÊ J.
Published in:	Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 24.1999, 3, p. 403-414
Publisher:	Department of Economics and Finance Research and Teaching
Subject:	Price index \| cointegration \| shared trends

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: October 1994/final version received: September 1998
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005612981