Options on agricultural futures are popular financial instruments used for agricultural price risk management and to speculate on future price movements. Poor performance of Black’s classical option pricing model has stimulated many researchers to introduce pricing models that are more...

Options on agricultural futures are popular financial instruments used for agricultural price risk management and to speculate on future price movements. Poor performance of Black’s classical option pricing model has stimulated many researchers to introduce pricing models that are more...

This study conducts an investigation on the application of classical unit-root tests using parametric tests (the augmented Dickey-Fuller, 1979 – ADF), and nonparametric tests (Phillips and Perron, 1988—PP) to corn and soybean yields in the Delta states using county-level data from 1961 to...

Using Japanese economic data and a Monte Carlo simulation, this study analyzes the consequences of ignoring deterministic trends in mixed unit-root data for Granger noncausality tests. Results from an augmented VAR suggest over-rejection in certain empirically relevant cases at various sample sizes.

Standard bootstrap method is used to generate confidence intervals (CIs) of impulse response functions of VAR and SVAR models in the pork sector. In the VAR model, the bootstrap method does not produce significant different results from Monte Carlo simulations. In the SVAR analysis, on the other...

Threshold models have gained much recent attention in applied economics for modeling nonlinear behavior. The appeal for these models is due in part to the observable pattern that many economic variables follow, such as asymmetric adjustment towards equilibrium. This paper reviews the literature...

A Monte Carlo investigation is used to examine the performance of two commonly used tests for Granger causality for univariate and bivariate nonstationary ARMA (p,q) processes. Tests are applied to raw data, first differences of the raw data, and detrended versions of the series. The results...

The performance of the FPE, AIC, HQ and SC criteria in choosing lag-length, and the effect on the impulse-response functions, are studied in a Monte Carlo simulation. The experiments include stationary, cointegrated, and mixed unit root VAR and MA cases.

A review of literature on applications of Granger causality to problems in international agricultural economics research is summarized. The review relates to cointegration theory, and it identifies the areas where recent econometric developments may be of value. Testing procedures are outlined,...

The small sample performance of Granger causality tests under different model dimensions, degree of cointegration, direction of causality, and system stability are presented. Two tests based on maximum likelihood estimation of error-correction models (LR and WALD) are compared to a Wald test...