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Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing?
Mallory, Mindy L.; Lence, Sergio H. - 2010
This study highlights some problems with using the Johansen cointegration statistics on data containing a negative moving average (NMA) in the error term of the data generating process. We use a Monte Carlo experiment to demonstrate that the asymptotic distribution of the Johansen cointegration...
Persistent link: https://www.econbiz.de/10009446152
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BASIS EFFECTS OF ETHANOL PLANTS IN THE U.S. CORN BELT
Miller, Elizabeth; Mallory, Mindy L.; Baylis, Katherine R. - Agricultural and Applied Economics Association - AAEA - 2012
Persistent link: https://www.econbiz.de/10010881171
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Patronage Refunds Paying Decision of Farm Credit System Associations: A Logit Model
Zhang, Tianwei; Mallory, Mindy L. - Agricultural and Applied Economics Association - AAEA - 2010
Persistent link: https://www.econbiz.de/10009020557
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Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing?
Mallory, Mindy L.; Lence, Sergio H. - Agricultural and Applied Economics Association - AAEA - 2010
This study highlights some problems with using the Johansen cointegration statistics on data containing a negative moving average (NMA) in the error term of the data generating process. We use a Monte Carlo experiment to demonstrate that the asymptotic distribution of the Johansen cointegration...
Persistent link: https://www.econbiz.de/10009020679