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Cointegration, causality and the transmission of shocks across wheat market in Pakistan

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  • Mushtaq Klasra

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  • Mushtaq Klasra, 2009. "Cointegration, causality and the transmission of shocks across wheat market in Pakistan," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(2), pages 305-315, March.
    • Handle: RePEc:spr:qualqt:v:43:y:2009:i:2:p:305-315
    DOI: 10.1007/s11135-007-9107-1
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    References listed on IDEAS

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    1. MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-577, Sept.-Oct.
    2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    3. Faruqee, Rashid & Coleman, Jonathan R & Scott, Tom, 1997. "Managing Price Risk in the Pakistan Wheat Market," The World Bank Economic Review, World Bank, vol. 11(2), pages 263-292, May.
    4. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
    5. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    6. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    7. Cornelisse, Peter A. & Naqvi, Syed Nawab Haider, 1989. "An appraisal of wheat market policy in Pakistan," World Development, Elsevier, vol. 17(3), pages 409-419, March.
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    Cited by:

    1. Mohamed Abdouli & Sami Hammami, 2020. "Economic Growth, Environment, FDI Inflows, and Financial Development in Middle East Countries: Fresh Evidence from Simultaneous Equation Models," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 11(2), pages 479-511, June.

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    More about this item

    Keywords

    Transmission of shocks; Causality; Generalized impulse response function; Cointegration; C22; Q13; Q18;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy; Animal Welfare Policy

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