A dynamic analysis of causality between prices of corn, crude oil and ethanol
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More about this item
Keywords
Granger causality; rolling regression; Toda -Yamamoto tests; commodity prices.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
NEP fields
This paper has been announced in the following NEP Reports:- NEP-AGR-2014-06-14 (Agricultural Economics)
- NEP-ENE-2014-06-14 (Energy Economics)
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