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Impact of Macroeconomic Policies on Agricultural Prices
Awokuse, Titus O. - 2005
vector autoregression (VAR) type model specifications. Directed acyclic graph theory is proposed as an alternative modeling …
Persistent link: https://www.econbiz.de/10009445541
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Money-Income Relationships between Three ERM Countries
Choudhry, Taufiq - 2002
tests are conducted by means of the Johansen multivariate cointegration method and the error correction model. Among the ERM … the theory of German domination of the EMU. In the second set of tests, the United States money is found to affect all …
Persistent link: https://www.econbiz.de/10009445749
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Studies in the Dynamics of Economic Systems
Giraud-Carrier, Christophe G.; Seppi, Kevin; Tran, Nghia; … - 2005
This paper demonstrates the utility of systems and control theory in the analysis of economic systems. Two applications … control theory in the analysis of economic systems. Twoapplications demonstrate how the analysis of simple dynamicmodels sheds … established history, it isour view that economic systems continue to provide a richapplication domain for control theory to …
Persistent link: https://www.econbiz.de/10009456232
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Multivariate GARCH hedge ratios and hedging effectiveness in Australian Futures Markets
Yang, Wenling; Allen, David E - 2005
We use the All Ordinaries Index and the corresponding Share Price Index futures contract written against the All Ordinaries Index to estimate optimal hedge ratios, adopting several specifications: an ordinary least squares-based model, a vector autoregression, a vector error-correction model...
Persistent link: https://www.econbiz.de/10009440863
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Robustifying forecasts from equilibrium-correction models
Hendry, David F. - 2006
Cointegration analysis has led to equilibrium-correction econometric systems being ubiquitous. But in a non …
Persistent link: https://www.econbiz.de/10009441388
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Forecasting with breaks
Clements, Michael P.; Hendry, David F.; Elliot, G.; … - 2006
A structural break is viewed as a permanent change in the parameter vector of a model. Using taxonomies of all sources of forecast errors for both conditional mean and conditional variance processes, we consider the impacts of breaks and their relevance in forecasting models: (a) where the...
Persistent link: https://www.econbiz.de/10009441390
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Cointegration and Market Integration: An Application to the Potato Markets in Rural West Bengal, India
Basu, Jyotish Prakash - 2006
The paper attempts to examine the market integration with the help of cointegration test on the prices of potato of … retail markets. The cointegration test by Johansen and Jeselius (1990) applied to weekly prices of three important potato …
Persistent link: https://www.econbiz.de/10009442462
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Impact of Changes in Dietary Preferences on U.S. Retail Demand for Beef: Health Concerns and the Role of Media
Miljkovic, Dragan; Mostad, Daniel - 2005
2004:IV. Johansen's cointegration method and vector error correction (VEC) model based Granger causality test were used in …
Persistent link: https://www.econbiz.de/10009442904
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Ley de precio único en el mercado español del aceite de oliva
Roldan Casas, Jose Angel; Dios-Palomares, Rafaela - 2008
RESUMEN: El objetivo de este trabajo es el estudio de la integración del mercado español del aceitede oliva y la contrastación de la Ley de Precio Único (LPU) en dicho mercado. El análisis se lleva acabo aplicando la técnica multivariante de cointegración a series mensuales (1987-2001) de...
Persistent link: https://www.econbiz.de/10009443331
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Country and border effects in the transmission of maize prices in Eastern Africa: evidence from a semi-parametric regression model
Ihle, Rico; von Cramon-Taubadel, Stephan; Zorya, Sergiy - 2010
This study uses a rich dataset of 85 market pairs between January 2000 andOctober 2008 for Kenya, Tanzanian and Uganda, the three largest member countries ofthe East Africa Community, to analyze the factors determining national and cross-nationalmaize price transmission. Although the three...
Persistent link: https://www.econbiz.de/10009443640