IDEAS home Printed from https://ideas.repec.org/a/spr/empeco/v24y1999i3p403-414.html
   My bibliography  Save this article

The introduction of seasonal unit roots and cointegration to test index aggregation optimality: An application to a Spanish farm price index

Author

Listed:
  • Francisco J. MartÎn-âlvarez

    (Department of Applied Economics, University of La Laguna, Campus de Guajara, Camino de la Hornera s/n, 38071 La Laguna, Tenerife, Spain)

  • Victor J. Cano-FernÂndez

    (Department of Applied Economics, University of La Laguna, Campus de Guajara, Camino de la Hornera s/n, 38071 La Laguna, Tenerife, Spain)

  • JosÊ J. CÂceres-HernÂndez

    (Department of Applied Economics, University of La Laguna, Campus de Guajara, Camino de la Hornera s/n, 38071 La Laguna, Tenerife, Spain)

Abstract

In this paper we present a methodological proposal of the way integration and cointegration analysis can best be used to test if the level of aggregation of an index is adequate. Using this proposal, we enquire the extent to which a Spanish aggregate farm price index captures the behavior of its components.

Suggested Citation

  • Francisco J. MartÎn-âlvarez & Victor J. Cano-FernÂndez & JosÊ J. CÂceres-HernÂndez, 1999. "The introduction of seasonal unit roots and cointegration to test index aggregation optimality: An application to a Spanish farm price index," Empirical Economics, Springer, vol. 24(3), pages 403-414.
    • Handle: RePEc:spr:empeco:v:24:y:1999:i:3:p:403-414
    Note: received: October 1994/final version received: September 1998
    as

    Download full text from publisher

    File URL: http://link.springer.de/link/service/journals/00181/papers/9024003/90240403.pdf
    Download Restriction: Access to the full text of the articles in this series is restricted
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

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


    Cited by:

    1. CÁCERES HERNÁNDEZ, José Juan & CANO FERNÁNDEZ, Víctor J. & MARTÍN ÁLVAREZ, Francisco J., 2001. "Observaciones anómalas y contrastes de raíz unitaria en datos semanales," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 17, pages 85-105, Abril.
    2. Artur Silva Lopes, 2006. "Deterministic seasonality in Dickey–Fuller tests: should we care?," Empirical Economics, Springer, vol. 31(1), pages 165-182, March.
    3. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex Business School.

    More about this item

    Keywords

    Price index · cointegration · shared trends;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    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:spr:empeco:v:24:y:1999:i:3:p:403-414. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    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.