IDEAS home Printed from https://ideas.repec.org/a/rnd/arjebs/v5y2013i3p157-163.html
   My bibliography  Save this article

The Role of Model Complexity and the Performance of the Selection Criteria in Asymmetric Price Transmission Models

Author

Listed:
  • Henry de-Graft Acquah

Abstract

The role of model complexity in asymmetric price transmission model selection is not well understood. In order to appreciate the role of model complexity in model selection performance, this study fits alternative asymmetric price transmission models that differ in complexity to simulated data and evaluates the ability of the model selection method to recover the true model. The results of Monte Carlo experimentation suggest that in general BIC, CAIC and DIC were superior to AIC when the true data generating process was the Manning Error Correction model (MECM). However, AIC was more successful when the true model was the Complex Error Correction Model (CECM). The tendency of the complex model (CECM) to over fit the relatively simpler true asymmetric data generating process (MECM) is minimized in larger samples. The research findings demonstrate the role of model complexity in asymmetric price transmission model comparison and selection.

Suggested Citation

  • 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.
    • Handle: RePEc:rnd:arjebs:v:5:y:2013:i:3:p:157-163
    DOI: 10.22610/jebs.v5i3.390
    as

    Download full text from publisher

    File URL: https://ojs.amhinternational.com/index.php/jebs/article/view/390/390
    Download Restriction: no
    File URL: https://ojs.amhinternational.com/index.php/jebs/article/view/390
    Download Restriction: no
    File URL: https://libkey.io/10.22610/jebs.v5i3.390?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. Giliola Frey & Matteo Manera, 2007. "Econometric Models Of Asymmetric Price Transmission," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 349-415, April.
    2. Cook, Steven & Holly, Sean & Turner, Paul, 1999. "The power of tests for non-linearity: the case of Granger-Lee asymmetry," Economics Letters, Elsevier, vol. 62(2), pages 155-159, February.
    3. 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.
    4. 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.
    5. Oral Capps & Pablo Sherwell, 2007. "Alternative approaches in detecting asymmetry in farm-retail price transmission of fluid milk," Agribusiness, John Wiley & Sons, Ltd., vol. 23(3), pages 313-331.
    6. 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.
    7. 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.
    8. Ting Hsiang Lin & C. Mitchell Dayton, 1997. "Model Selection Information Criteria for Non-Nested Latent Class Models," Journal of Educational and Behavioral Statistics, , vol. 22(3), pages 249-264, September.
    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. Morris, Daniel H. & Parrott, Scott D. & Mehlhorn, Joey & Tewari, Rachna & Pruitt, Ross, 2017. "The Price Transmission Relationship Between Ethanol, Wholesale Gasoline, And Blended Retail Gasoline," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 5(2), April.

    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. 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(1), pages 1-7, March.
    2. Luca Cacchiarelli & Daniel Lass & Alessandro Sorrentino, 2016. "CAP Reform and Price Transmission in the Italian Pasta Chain," Agribusiness, John Wiley & Sons, Ltd., vol. 32(4), pages 482-497, November.
    3. Cook, Steven & Fosten, Jack, 2019. "Replicating rockets and feathers," Energy Economics, Elsevier, vol. 82(C), pages 139-151.
    4. Anthony N. Rezitis, 2019. "Investigating price transmission in the Finnish dairy sector: an asymmetric NARDL approach," Empirical Economics, Springer, vol. 57(3), pages 861-900, September.
    5. Karantininis, Kostas & Katrakylidis, Kostas & Persson, Morten, 2011. "Price Transmission in the Swedish Pork Chain: Asymmetric non linear ARDL," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114772, European Association of Agricultural Economists.
    6. Judith Hillen, 2021. "Vertical price transmission in Swiss dairy and cheese value chains," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 9(1), pages 1-21, December.
    7. Guojun He & Jeffrey T. LaFrance & Jeffrey M. Perloff & Richard Volpe, 2024. "How do Everyday-Low-Price Supermarkets Adjust Their Prices?," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 64(1), pages 117-146, February.
    8. Rahman, Mohammad Chhiddikur, 2020. "Welfare Impact of Asymmetric Price Transmission on Bangladesh Rice Consumers," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 242248, September.
    9. 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.
    10. 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.
    11. Yizao Liu & Xuan Chen & Adam N. Rabinowitz, 2019. "The role of retail market power and state regulations in the heterogeneity of farm‐retail price transmission of private label and branded products," Agricultural Economics, International Association of Agricultural Economists, vol. 50(1), pages 91-99, January.
    12. Ankamah-Yeboah, Isaac, 2012. "Spatial Price Transmission in the Regional Maize Markets in Ghana," MPRA Paper 49720, University Library of Munich, Germany.
    13. Daphne M.I. Verreth & Grigorios Emvalomatis & Frank Bunte & Ron Kemp & Alfons G.J.M. Oude Lansink, 2015. "Price Transmission, International Trade, and Asymmetric Relationships in the Dutch Agri‐Food Chain," Agribusiness, John Wiley & Sons, Ltd., vol. 31(4), pages 521-542, October.
    14. Rabinowitz, Adam & Liu, Yizao & Chen, Xuan, 2016. "The Impact of Price Regulations on Farm-Retail Price Transmission: The Case of Fluid Milk," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas 230095, Southern Agricultural Economics Association.
    15. Michel Simioni & Frédéric Gonzales & Patrice Guillotreau & Laurent Le Grel, 2013. "Detecting Asymmetric Price Transmission with Consistent Threshold along the Fish Supply Chain," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 61(1), pages 37-60, March.
    16. 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.
    17. Kaufmann, Robert K., 2017. "Airfares and oil prices: ‘Feathers and Rockets’ adjustments," Energy Economics, Elsevier, vol. 68(C), pages 515-521.
    18. 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.
    19. Fousekis, Panos & Katrakilidis, Constantinos & Trachanas, Emmanouil, 2016. "Vertical price transmission in the US beef sector: Evidence from the nonlinear ARDL model," Economic Modelling, Elsevier, vol. 52(PB), pages 499-506.
    20. Mkhabela, Thulasizwe S. & Nyhodo, Bonani, 2011. "Farm and Retail Prices in the South African Poultry Industry: Do the Twain Meet?," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 14(3), pages 1-20, September.

    More about this item

    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:rnd:arjebs:v:5:y:2013:i:3:p:157-163. 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: Muhammad Tayyab (email available below). General contact details of provider: https://ojs.amhinternational.com/index.php/jebs .

    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.