IDEAS home Printed from https://ideas.repec.org/a/ags/aolpei/148098.html
   My bibliography  Save this article

On the Comparison of Akaike Information Criterion and Consistent Akaike Information Criterion in Selection of an Asymmetric Price Relationship: Bootstrap Simulation Results

Author

Listed:
  • Acquah, H. de-Graft

Abstract

Akaike’s Information Criteria provide a basis for choosing between competing approaches to testing for price asymmetry. However, very little research has been undertaken to understand its performance in the price transmission modelling context. In addressing this issue, this paper introduces and applies parametric bootstrap techniques to evaluate the ability of Akaike Information Criteria (AIC) and Consistent Akaike Information Criteria (CAIC) in distinguishing between competing asymmetric price transmission models under various error and sample size conditions. Bootstrap simulation results suggest that the performance of the model selection methods depends on sample size and stochastic variance. The Bootstrap simulations further indicate that CAIC is consistent and performs better than the AIC in large bootstrap samples. The ability of the model selection methods to identify the true asymmetric price relationship decreases with increase in stochastic variance. The research findings demonstrate the usefulness of Bootstrap algorithms in price transmission model comparison and selection.

Suggested Citation

  • Acquah, H. de-Graft, 2013. "On the Comparison of Akaike Information Criterion and Consistent Akaike Information Criterion in Selection of an Asymmetric Price Relationship: Bootstrap Simulation Results," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 5(01), pages 1-7, March.
    • Handle: RePEc:ags:aolpei:148098
    DOI: 10.22004/ag.econ.148098
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/148098/files/agris_on-line_2013_1_acquah.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.148098?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Sean Holly & Paul Turner & Melvyn Weeks, 2003. "Asymmetric Adjustment and Bias in Estimation of an Equilibrium Relationship from a Cointegrating Regression," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 195-202, June.
    2. Stephan Cramon-Taubadel & Jens-Peter Loy, 1996. "Price Asymmetry in the International Wheat Market: Comment," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 44(3), pages 311-317, November.
    3. Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages 145-159, Supplemen.
    4. Hamparsum Bozdogan, 1987. "Model selection and Akaike's Information Criterion (AIC): The general theory and its analytical extensions," Psychometrika, Springer;The Psychometric Society, vol. 52(3), pages 345-370, September.
    5. James P. Houck, 1977. "An Approach to Specifying and Estimating Nonreversible Functions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 59(3), pages 570-572.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yazar, Isil & Yavuz, Hasan Serhan & Yavuz, Arzu Altin, 2017. "Comparison of various regression models for predicting compressor and turbine performance parameters," Energy, Elsevier, vol. 140(P2), pages 1398-1406.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Henry de-Graft Acquah, 2013. "The Role of Model Complexity and the Performance of the Selection Criteria in Asymmetric Price Transmission Models," Journal of Economics and Behavioral Studies, AMH International, vol. 5(3), pages 157-163.
    2. Henry De-Graft Acquah, 2013. "Using Bootstrap Method to Evaluate the Power of Tests for Non-Linearity in Asymmetric Price Relationship," Journal of Economics and Behavioral Studies, AMH International, vol. 5(4), pages 237-241.
    3. Stéphane Von Cramon-Taubadel & Jens-Peter Loy, 1998. "Estimation des transmissions de prix asymétriques avec des prix intégrés [Une application au marché mondial du blé]," Économie rurale, Programme National Persée, vol. 243(1), pages 30-39.
    4. Ankamah-Yeboah, Isaac, 2012. "Spatial Price Transmission in the Regional Maize Markets in Ghana," MPRA Paper 49720, University Library of Munich, Germany.
    5. Mohammad J Alam & Raghbendra Jha, 2016. "Asymmetric threshold vertical price transmission in wheat and flour markets in Dhaka (Bangladesh): seemingly unrelated regression analysis," ASARC Working Papers 2016-03, The Australian National University, Australia South Asia Research Centre.
    6. Szőke, Tamás & Hortay, Olivér & Balogh, Eszter, 2019. "Asymmetric price transmission in the Hungarian retail electricity market," Energy Policy, Elsevier, vol. 133(C).
    7. Mohammad Jahangir Alam & Andrew M. McKenzie & Ismat Ara Begum & Jeroen Buysse & Eric J. Wailes & Guido Huylenbroeck, 2016. "Asymmetry Price Transmission in the Deregulated Rice Markets in Bangladesh: Asymmetric Error Correction Model," Agribusiness, John Wiley & Sons, Ltd., vol. 32(4), pages 498-511, November.
    8. Farajzadeh, Z. & Amiraslany, A., 2018. "Examination of the international market power for Iranian pistachios," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277345, International Association of Agricultural Economists.
    9. Ahmed, Osama & Serra, Teresa, 2015. "Evaluate the economic consequences of revenue insurance programs in Spain using copula models. The case of orange and apple," 2015 Conference, August 9-14, 2015, Milan, Italy 212522, International Association of Agricultural Economists.
    10. Jun Lee & Miguel I. Gómez, 2013. "Impacts of the End of the Coffee Export Quota System on International-to-Retail Price Transmission," Journal of Agricultural Economics, Wiley Blackwell, vol. 64(2), pages 343-362, June.
    11. Bairagi, S. & Mohanty, S., 2018. "Analysis of Price Transmission along the Cambodian Rice Value Chain," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277022, International Association of Agricultural Economists.
    12. Giliola Frey & Matteo Manera, 2007. "Econometric Models Of Asymmetric Price Transmission," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 349-415, April.
    13. Digal, Larry N. & Hualda, Luis, 2003. "Quality Grading In The Supply Chain: The Case Of Vegetables In Southern Philippines1," 2003 Conference (47th), February 12-14, 2003, Fremantle, Australia 57860, Australian Agricultural and Resource Economics Society.
    14. Saha, Bishnu & Mitura, Verna, 2008. "Price Transmission Along the Canadian Beef Supply Chain and the Impact of BSE," Agriculture and Rural Working Paper Series 54823, Statistics Canada.
    15. Ben Kaabia, Monia & Gil, Jose Maria & Boshnjaku, L., 2002. "Price Transmission Asymmetries in the Spanish Lamb Sector," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24908, European Association of Agricultural Economists.
    16. Henry de-Graft Acquah, 2013. "A Comparison of Bootstrap and Monte Carlo Approaches to Testing for Symmetry in the Granger and Lee Error Correction Model," Information Management and Business Review, AMH International, vol. 5(5), pages 240-244.
    17. Raghbendra Jha & Hari K. Nagarajan, 2002. "Noisy Vertical Markets," ASARC Working Papers 2002-04, The Australian National University, Australia South Asia Research Centre.
    18. Limon Deb & Yoonsuk Lee & Sang Hyeon Lee, 2020. "Market Integration and Price Transmission in the Vertical Supply Chain of Rice: An Evidence from Bangladesh," Agriculture, MDPI, vol. 10(7), pages 1-21, July.
    19. Holst, C. & von Cramon-Taubadel, S., 2011. "Einfluss des Schweinezyklus auf die Preistransmission zwischen Ferkel- und Schlachtschweinepreisen in Niedersachsen," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 46, March.
    20. Ahmed, Osama & Serra, Teresa, 2015. "Vertical Price Transmission in the Egyptian Tomato Sector After the Arab Spring," 2015 Conference, August 9-14, 2015, Milan, Italy 212523, International Association of Agricultural Economists.

    More about this item

    Keywords

    Research Methods/Statistical Methods;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:aolpei:148098. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/fevszcz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.