Use of composite forest commodity price indices for cointegration analysis
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Forest Economics.
Volume (Year): 15 (2009)
Issue (Month): 4 (December)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/701775/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jordi Gali & Mark Gertler, 2000.
"Inflation Dynamics: A Structural Econometric Analysis,"
NBER Working Papers
7551, National Bureau of Economic Research, Inc.
- Gali, Jordi & Gertler, Mark, 1999. "Inflation dynamics: A structural econometric analysis," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 195-222, October.
- Jordi Galí & Mark Gertler, 1998. "Inflation dynamics: A structural econometric analysis," Economics Working Papers 341, Department of Economics and Business, Universitat Pompeu Fabra.
- James M. Poterba & Lawrence H. Summers, 1989.
"Mean Reversion in Stock Prices: Evidence and Implications,"
NBER Working Papers
2343, National Bureau of Economic Research, Inc.
- Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Atle Guttormsen & SigbjÃ¸rn TveterÃ¥s & Frank Asche, 2001. "Aggregation over different qualities: Are there generic commodities?," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-6.
- Milevsky, Moshe Arye & Posner, Steven E., 1998. "Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(03), pages 409-422, September.
- Haug, A.A., 1992.
"Tests for Cointegration: A Monte Carlo Comparison,"
93-2, York (Canada) - Department of Economics.
- Frank Asche & Helge Bremnes & Cathy R. Wessells, 1999.
"Product Aggregation, Market Integration, and Relationships between Prices: An Application to World Salmon Markets,"
American Journal of Agricultural Economics,
Agricultural and Applied Economics Association, vol. 81(3), pages 568-581.
- Asche, F. & Bremnes, H. & Wessells, C.R., 1998. "Product Aggregation, Market Integration and Relationships Between Prices: an Application to World Salmon Markets," Papers 27/98, Norwegian School of Economics and Business Administration-.
- Jeffrey P. Prestemon & Thomas P. Holmes, 2000. "Timber Price Dynamics Following a Natural Catastrophe," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 82(1), pages 145-160.
- Nanang, David M., 2000. "A multivariate cointegration test of the law of one price for Canadian softwood lumber markets," Forest Policy and Economics, Elsevier, vol. 1(3-4), pages 347-355, December.
- Yin, Runsheng & Newman, David H. & Siry, Jacek, 2002. "Testing for market integration among southern pine regions," Journal of Forest Economics, Elsevier, vol. 8(2), pages 151-166.
- Lewbel, Arthur, 1996. "Aggregation without Separability: A Generalized Composite Commodity Theorem," American Economic Review, American Economic Association, vol. 86(3), pages 524-43, June.
- Ho, Mun S & Sorensen, Bent E, 1996. "Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations," The Review of Economics and Statistics, MIT Press, vol. 78(4), pages 726-32, November.
- Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Courtland L. Washburn & Clark S. Binkley, 1990. "On the Use of Period-Average Stumpage Prices to Estimate Forest Asset Pricing Models," Land Economics, University of Wisconsin Press, vol. 66(4), pages 379-393.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.