The relationship between different price indices: Evidence from Turkey
AbstractA possible relationship between the Consumer Price Index and the Wholesale Price Index has been analyzed for long and short-run relationships. Conventional Engle and Granger [Estimation Test Econ. 55(1987) 2251–276] and Johansen's [J. Econ. Dyn. Control 12 (1988) 231–254] cointegration tests give mixed evidence for a possible long-run relationship between those two series. The model-free and seasonally robust periodogram-based test fails to reject the null of no-cointegration relationship. However, these two series move together in the short run.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 360 (2006)
Issue (Month): 2 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Cointegration; Periodogram; Price indices;
Other versions of this item:
- Hakan Berument & Seyit Mümin Cilasun & Yýlmaz Akdi, 2006. "The Relationship Between Different Price Indices : Evidence from Turkey," Departmental Working Papers 0603, Bilkent University, Department of Economics.
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