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...

Cointegration is tested between organic and conventional corn and soybean markets in several locations throughout the U.S. using a unique data set. Organic prices are found to behave like pure jump processes rather than diffusions. A simple specification for pure jump processes is introduced and...

 This study explores performance of the Johansen cointegration statistics on data containingnegative moving average (NMA) errors. Monte Carlo experiments demonstrate that the asymptoticdistributions of the statistics are sensitive to NMA parameters, and that using the standard 5%asymptotic...

Cointegration is tested between organic and conventional corn and soybean markets in several locations throughout the U.S. using a unique data set. Organic prices are found to behave like jump processes rather than diffusions, and Monte Carlo methods are developed to compute appropriate critical...

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...