COINTEGRATION BETWEEN U.S. WHEAT MARKETS | Zendy

Bessler David A. | Zendy; Fuller Stephen W. | Zendy

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COINTEGRATION BETWEEN U.S. WHEAT MARKETS

Author(s) -

Bessler David A.,

Fuller Stephen W.

Publication year - 1993

Publication title -

journal of regional science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.171

H-Index - 79

eISSN - 1467-9787

pISSN - 0022-4146

DOI - 10.1111/j.1467-9787.1993.tb00844.x

Subject(s) - cointegration , vector autoregression , univariate , econometrics , error correction model , autoregressive model , economics , variance decomposition of forecast errors , sample (material) , forecast error , variance (accounting) , error detection and correction , multivariate statistics , statistics , mathematics , chemistry , chromatography , accounting , algorithm

. Average monthly price data from twelve hinterland markets and the Houston port price for wheat are studied in a cointegration framework using the Engle‐Granger “two‐step” procedure and Johansen's maximum likelihood procedure. Out‐of‐sample forecasts from an error correction model are compared to those from a vector autoregression fit to levels and a univariate autoregression fit to first differences. This comparison suggests that modeling these (cointegrated) data as a levels vector autoregression, rather than as an error‐correction process, results in significantly higher error bias, but lower error variance, at long horizons.

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