This paper examines the information shares in four pairs of Canadian agricultural cash and futures markets by exploring their cointegrating relationships. Using error correction models (ECMs) and Hasbrouck's econometric method of estimating information shares, the results show that the price...

The STAR model is used to characterize the time series of aggregate consumption. It makes smooth transition from one optimal level to another, as heterogeneous individuals reach their optimal revision points over time. These results suggest that consumption adjustment costs and heterogeneity...