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

Author

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  • 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
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    Citations

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    Cited by:

    1. Artur Silva Lopes, 2006. "Deterministic seasonality in Dickey–Fuller tests: should we care?," Empirical Economics, Springer, vol. 31(1), pages 165-182, March.
    2. 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.
    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

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