Disentangling non-linearities in the long- and short-run price relationships: An application to the U.S. hog/Pork supply chain
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Jean-Philippe Gervais, 2011. "Disentangling nonlinearities in the long- and short-run price relationships: an application to the US hog/pork supply chain," Applied Economics, Taylor & Francis Journals, vol. 43(12), pages 1497-1510.
References listed on IDEAS
- Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002.
"Smooth Transition Autoregressive Models — A Survey Of Recent Developments,"
Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
- van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers EI 2000-23/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," SSE/EFI Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
- Giliola Frey & Matteo Manera, 2007.
"Econometric Models Of Asymmetric Price Transmission,"
Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 349-415, April.
- Frey, Giliola & Manera, Matteo, 2005. "Econometric Models of Asymmetric Price Transmission," International Energy Markets Working Papers 12122, Fondazione Eni Enrico Mattei (FEEM).
- Matteo Manera & Giliola Frey, 2005. "Econometric Models of Asymmetric Price Transmission," Working Papers 2005.100, Fondazione Eni Enrico Mattei.
- Enders, Walter & Siklos, Pierre L, 2001.
"Cointegration and Threshold Adjustment,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 166-176, April.
- Enders, Walter & Siklos, Pierre L., 1998. "Cointegration and Threshold Adjustment," ISU General Staff Papers 199810010700001306, Iowa State University, Department of Economics.
- Tom Doan, "undated". "ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect," Statistical Software Components RTS00064, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration," Statistical Software Components RTZ00053, Boston College Department of Economics.
- Green, Edward J & Porter, Robert H, 1984.
"Noncooperative Collusion under Imperfect Price Information,"
Econometrica, Econometric Society, vol. 52(1), pages 87-100, January.
- Green, Edward J. & Porter, Robert H., 1982. "Noncooperative Collusion Under Imperfect Price Information," Working Papers 367, California Institute of Technology, Division of the Humanities and Social Sciences.
- Edward J Green & Robert H Porter, 1997. "Noncooperative Collusion Under Imperfect Price Information," Levine's Working Paper Archive 1147, David K. Levine.
- Barry K. Goodwin & Matthew T. Holt, 1999.
"Price Transmission and Asymmetric Adjustment in the U.S. Beef Sector,"
American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(3), pages 630-637.
- Goodwin, Barry K. & Holt, Matthew T., 1998. "Price Transmission and Asymmetric Ajustment in the U.S. Beef Sector," Staff Papers 232533, Virginia Polytechnic Institute and State University, Department of Agricultural and Applied Economics.
- S McCorriston & CW Morgan & AJ Rayner, 2001. "Price transmission: the interaction between market power and returns to scale," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 28(2), pages 143-159, June.
- Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of a Modified Dickey-Fuller Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(3), pages 411-419, August.
- Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
- repec:bla:jecsur:v:13:y:1999:i:5:p:551-76 is not listed on IDEAS
- James M. MacDonald & Michael E. Ollinger, 2000.
"Scale Economies and Consolidation in Hog Slaughter,"
American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 82(2), pages 334-346.
- James M MacDonald & Michael E Ollinger, 2000. "Scale Economies and Consolidation in Hog Slaughter," Working Papers 00-03, Center for Economic Studies, U.S. Census Bureau.
- Alvaro Escribano & Santiago Mira, 2002.
"Nonlinear error correction models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 23(5), pages 509-522, September.
- Mira, Santiago, 1997. "Nonlinear error correction models," DES - Working Papers. Statistics and Econometrics. WS 6206, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Alvaro Escribano & Santiago Mira, 2001. "Nonlinear error correction models," Documentos de trabajo conjunto ULL-ULPGC 2001-03, Facultad de Ciencias Económicas de la ULPGC.
- Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017.
"Correction,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
- Hwan Seo, Myung, 2011. "Estimation Of Nonlinear Error Correction Models," Econometric Theory, Cambridge University Press, vol. 27(2), pages 201-234, April.
- Youngki Shin, 2009. "Length-bias Correction in Transformation Models with Supplementary Data," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 658-681.
- Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, vol. 134(1), pages 129-150, September.
- Myung Hwan Seo, 2007. "Estimation of Nonlinear Error CorrectionModels," STICERD - Econometrics Paper Series 517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Seo, Myung Hwan, 2007. "Estimation of nonlinear error correction models," LSE Research Online Documents on Economics 6802, London School of Economics and Political Science, LSE Library.
- Jean-Paul Chavas & Aashish Mehta, 2004.
"Price Dynamics in a Vertical Sector: The Case of Butter,"
American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(4), pages 1078-1093.
- Chavas, Jean- Paul & Mehta, Aashish, 2002. "Price Dynamics in a Vertical Sector: The Case of Butter," Working Papers 201555, University of Wisconsin-Madison, Department of Agricultural and Applied Economics, Food System Research Group.
- Chavas, Jean-Paul & Mehta, Aashish, 2002. "Price Dynamics in a Vertical Sector: The Case of Butter," Staff Paper Series 452, University of Wisconsin, Agricultural and Applied Economics.
- Chavas, Jean-Paul & Mehta, Aashish, 2002. "Price Dynamics In A Vertical Sector: The Case Of Butter," Staff Papers 12676, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
- Chang, Yoosoon & Park, Joon Y., 2003. "Index models with integrated time series," Journal of Econometrics, Elsevier, vol. 114(1), pages 73-106, May.
- Goodwin, Barry K. & Harper, Daniel C., 2000.
"Price Transmission, Threshold Behavior, And Asymmetric Adjustment In The U.S. Pork Sector,"
Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(3), pages 1-11, December.
- Goodwin, Barry K. & Harper, Daniel C., 2000. "Price Transmission, Threshold Behavior, and Asymmetric Adjustment in the U.S. Pork Sector," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 32(3), pages 543-553, December.
- Harper, Daniel C. & Goodwin, Barry K., 1999. "Price Transmission, Threshold Behavior, And Asymmetric Adjustment In The U.S. Pork Sector," 1999 Annual meeting, August 8-11, Nashville, TN 21666, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of the Augmented Dickey-Fuller Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 277-280, July.
- Bruce Hansen, 1999. "Testing for Linearity," Journal of Economic Surveys, Wiley Blackwell, vol. 13(5), pages 551-576, December.
- Jochen Meyer & Stephan von Cramon‐Taubadel, 2004.
"Asymmetric Price Transmission: A Survey,"
Journal of Agricultural Economics, Wiley Blackwell, vol. 55(3), pages 581-611, November.
- Meyer, Jochen & von Cramon-Taubadel, Stephan, 2002. "Asymmetric Price Transmission: A Survey," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24822, European Association of Agricultural Economists.
- Park, Joon Y & Phillips, Peter C B, 2001.
"Nonlinear Regressions with Integrated Time Series,"
Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
- Joon Y. Park & Peter C.B. Phillips, 1998. "Nonlinear Regressions with Integrated Time Series," Cowles Foundation Discussion Papers 1190, Cowles Foundation for Research in Economics, Yale University.
- Hansen,B.E., 1999. "Testing for linearity," Working papers 7, Wisconsin Madison - Social Systems.
- Azzeddine M. Azzam, 1999. "Asymmetry and Rigidity in Farm-Retail Price Transmission," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(3), pages 525-533.
- Saikkonen, Pentti & Choi, In, 2004. "Cointegrating Smooth Transition Regressions," Econometric Theory, Cambridge University Press, vol. 20(2), pages 301-340, April.
- Shimotsu, Katsumi, 2010.
"Exact Local Whittle Estimation Of Fractional Integration With Unknown Mean And Time Trend,"
Econometric Theory, Cambridge University Press, vol. 26(2), pages 501-540, April.
- Katsumi Shimotsu, 2006. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Working Paper 1061, Economics Department, Queen's University.
- In Choi & Pentti Saikkonen, 2004. "Testing linearity in cointegrating smooth transition regressions," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 341-365, December.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Saikkonen, Pentti, 2005. "Stability results for nonlinear error correction models," Journal of Econometrics, Elsevier, vol. 127(1), pages 69-81, July.
- Lass, Daniel A., 2005. "Asymmetric Response of Retail Milk Prices in the Northeast Revisited," Research Reports 149026, University of Connecticut, Food Marketing Policy Center.
- Teresa Serra & Barry Goodwin, 2003.
"Price transmission and asymmetric adjustment in the Spanish dairy sector,"
Applied Economics, Taylor & Francis Journals, vol. 35(18), pages 1889-1899.
- Serra, Teresa & Goodwin, Barry K., 2002. "Price Transmission And Asymmetric Adjustment In The Spanish Dairy Sector," 2002 Annual meeting, July 28-31, Long Beach, CA 19622, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Daniel A. Lass, 2005. "Asymmetric response of retail milk prices in the northeast revisited," Agribusiness, John Wiley & Sons, Ltd., vol. 21(4), pages 493-508.
- Horowitz, Joel L., 2001. "The Bootstrap," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 52, pages 3159-3228, Elsevier.
- Daniel Lass, 2005. "Asymmetric Response of Retail Milk Prices in the Northeast Revisited," Food Marketing Policy Center Research Reports 092, University of Connecticut, Department of Agricultural and Resource Economics, Charles J. Zwick Center for Food and Resource Policy.
- Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(1), pages 1-21, March.
- Dabin Wang & William G. Tomek, 2007. "Commodity Prices and Unit Root Tests," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 89(4), pages 873-889.
- Parker, Cameron & Paparoditis, Efstathios & Politis, Dimitris N., 2006. "Unit root testing via the stationary bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 601-638, August.
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.- 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.
- 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.
- Rezitis, Anthony N. & Tsionas, Mike, 2019. "Modeling asymmetric price transmission in the European food market," Economic Modelling, Elsevier, vol. 76(C), pages 216-230.
- Abdessalem Abbassi & Lota D. Tamini & Jean‐Philippe Gervais, 2012.
"Do Inventories Have an Impact on Price Transmission? Evidence From the Canadian Chicken Industry,"
Agribusiness, John Wiley & Sons, Ltd., vol. 28(2), pages 173-186, March.
- Abbassi, Abdessalem & Tamini, Lota D. & Gervais, Jean-Philippe, 2011. "Do inventories have an impact on price transmission? Evidence from the Canadian chicken industry," MPRA Paper 30868, University Library of Munich, Germany.
- 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.
- 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.
- Gotz, Linde & Qiu, Feng & Gervais, Jean-Philippe & Glauben, Thomas, 2012. "Export Restrictions And Multiple Spatial Price Equilibria When International Prices Spike: Export Quotas For Wheat In Ukraine," 2012: New Rules of Trade? December 2012, San Diego, California 143179, International Agricultural Trade Research Consortium.
- Ioanna Reziti, 2014. "Price transmission analysis in the Greek milk market," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 64(4), pages 75-86, October-D.
- Rajcaniova, Miroslava & Pokrivcak, Jan, 2013. "Asymmetry in Price Transmission Mechanism: The Case of Slovak Potato Market," Review of Agricultural and Applied Economics (RAAE), Faculty of Economics and Management, Slovak Agricultural University in Nitra, vol. 16(2), pages 1-8, September.
- Götz, Linde & Qiu, Feng & Gervais, Jean-Philippe & Glauben, Thomas, 2013. "Export Restrictions and Multiple Spatial Price Equilibria: Export Quotas for Wheat in Ukraine," 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 156135, German Association of Agricultural Economists (GEWISOLA).
- Yaya KEHO & Aïssata SOBIA CAMARA, 2012.
"Vertical Price Transmission in Local Rice Markets in Côte d’Ivoire: Are Consumers Really Right?,"
Asian Journal of Agriculture and Rural Development, Asian Economic and Social Society, vol. 2(4), pages 552-564.
- Keho, Yaya & Camara, Aïssata Sobia, 2012. "Vertical Price Transmission in Local Rice Markets in Côte d’Ivoire: Are Consumers Really Right?," Asian Journal of Agriculture and Rural Development, Asian Economic and Social Society (AESS), vol. 2(04), pages 1-13, December.
- Subervie, Julie, 2011. "Producer price adjustment to commodity price shocks: An application of threshold cointegration," Economic Modelling, Elsevier, vol. 28(5), pages 2239-2246, September.
- Lindström, Hanna, 2021. "Price transmission for organic and conventional milk products in Sweden," Umeå Economic Studies 999, Umeå University, Department of Economics.
- Octavio Fernández Amador & Josef Baumgartner & Jesús Crespo Cuaresma, 2010.
"Milking the Prices: The Role of Asymmetries in the Price Transmission Mechanism for Milk Products in Austria,"
WIFO Working Papers
378, WIFO.
- Octavio Fernández-Amador & Josef Baumgartner & Jesús Crespo-Cuaresma, 2010. "Milking The Prices: The Role of Asymmetries in the Price Transmission Mechanism for Milk Products in Austria," Working Papers 2010-21, Faculty of Economics and Statistics, Universität Innsbruck.
- 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.
- Lindström, Hanna, 2021. "Price transmission for organic and conventional milk products in Sweden," HFI Working Papers 22, Institute of Retail Economics (Handelns Forskningsinstitut).
- Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, Department of Economics and Business Economics, Aarhus University.
- Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017.
"Correction,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
- Hwan Seo, Myung, 2011. "Estimation Of Nonlinear Error Correction Models," Econometric Theory, Cambridge University Press, vol. 27(2), pages 201-234, April.
- Youngki Shin, 2009. "Length-bias Correction in Transformation Models with Supplementary Data," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 658-681.
- Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, vol. 134(1), pages 129-150, September.
- Myung Hwan Seo, 2007. "Estimation of Nonlinear Error CorrectionModels," STICERD - Econometrics Paper Series 517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Seo, Myung Hwan, 2007. "Estimation of nonlinear error correction models," LSE Research Online Documents on Economics 6802, London School of Economics and Political Science, LSE Library.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- 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.
More about this item
Keywords
Smooth transition cointegration; farm to retail price transmission; linear cointegration;All these keywords.
JEL classification:
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-COM-2008-03-15 (Industrial Competition)
Statistics
Access and download statisticsCorrections
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:pra:mprapa:7743. 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: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.