COINTEGRATION BETWEEN U.S. WHEAT MARKETS

Keywords

Cointegration, Vector autoregression, Univariate, Econometrics, Error correction model

References

• Distribution of the Estimators for Autoregressive Time Series with a Unit RootDavid A. Dickey, Wayne A. Fuller — 1979
• FORECASTING METROPOLITAN EMPLOYMENT USING AN EXPORT‐BASE ERROR‐CORBECTION MODELJames P. LeSage — 1990
• Forecasting and testing in co-integrated systemsRobert F. Engle, Byung Sam Yoo — 1987
• Price forecasting and evaluation: An application in agricultureJon A. Brandt, David A. Bessler — 1983
• A Comparison of the Forecasting Ability of ECM and VAR ModelsJames P. LeSage — 1990
• Co-integration and error correction: representation, estimation and testingRobert F. Engle, C. W. J. Granger — 1987
• Common Stochastic Trends in a System of Exchange RatesRichard T. Baillie, Tim Bollerslev — 1989
• Interpreting Cointegrated ModelsJohn Y. Campbell, Robert J. Shiller — 1988
• STATISTICAL ANALYSIS OF COINTEGRATION VECTORSSøren Johansen — 1988
• Advertising and aggregate consumption: an analysis of causalityRichard Ashley, Clive W. J. Granger, Richard Schmalensee — 1980
• Note on the Correlation of First Differences of Averages in a Random ChainHolbrook Working — 1960
• Distribution of the Estimators for Autoregressive Time Series With a Unit RootDavid A. Dickey, Wayne A. Fuller — 1979

Cited by

• Copula-Based Modeling of Dependence Structure among International Food Grain MarketsMansur Ahmed, Barry K. Goodwin, Ahmed, Mansur — 2015
• Should the Law of One Price be Pushed Away? Evidence from International Commodity MarketsJuuso Vataja — 2000
• Dynamics Of Polish Wheat Prices In Comparison To Selected World Prices In A Period Of Economic TransformationSzczepan Figiel, Figiel, Szczepan — 1998
• Horizontal price transmission of the Finnish meat sector with major EU playersLiu, Xing, Liu, Xing — 2011
• Vegetable Supply Chain: A Conceptual StudyUma Shankar Singh, Uma Sankar Mishra — 2013
• Copula-Based Nonlinear Models of Spatial Market LinkagesBarry K. Goodwin, Matthew T. Holt, Gülcan Önel — 2011
• Arbitrage, Cointegration and Testing the Unbiasedness Hypothesis in Coffee Futures Traded at the CSCEMalini Nair — 2011
• Spatial Price Dynamics in U.S. Regional Broiler MarketsTitus O. Awokuse, John C. Bernard — 2007
• Integracja polskich rynków rolnych z wybranymi rynkami zagranicznymiJerzy Rembeza — 2001
• Levels, Differences and ECMs - Principles for Improved Econometric ForecastingP. Geoffrey Allen, Robert Fildes — 2005
• Integracja regionalnych rynków rolnych w Polsce z rynkiem niemieckimJerzy Rembeza, Stanisław Piocha — 2002
• Using Spatial Contiguity as Bayesian Prior Information in Regional Forecasting ModelsJames P. LeSage, Zheng Pan — 1995
• Bootstrap testing for cointegration of international commodity pricesSeppo Pynnönen, Juuso Vataja — 2002
• Cointegration, unbiased expectations, and forecasting in the BIFFEX freight futures marketMichael S. Haigh — 2000
• Price Dynamics in the International Wheat Market: Modeling with Error Correction and Directed Acyclic GraphsDavid A. Bessler, Jian Yang, Metha Wongcharupan — 2003
• The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition ApproachJoseph Valdes Balagtas, Matthew T. Holt — 2009
• A Century of Research on Agricultural MarketsRobert J. Myers, Richard J. Sexton, William G. Tomek — 2010
• Price Discovery in Wheat Futures MarketsJian Yang, David J. Leatham — 1999
• North American Oriented Strand Board Markets, Arbitrage Activity, and Market Price Dynamics: A Smooth Transition ApproachBarry K. Goodwin, Matthew T. Holt, Jeffrey P. Prestemon — 2011
• Cereals and oilseeds supply within the EU, under AGENDA 2000: a Positive Mathematical Programming applicationAhmed Barkaoui, Jean-Pierre Butault, Barkaoui, Ahmed — 2000

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