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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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    File URL: http://hdl.handle.net/10.1007/s11135-007-9107-1
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    Article provided by Springer in its journal Quality & Quantity.

    Volume (Year): 43 (2009)
    Issue (Month): 2 (March)
    Pages: 305-315

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    Handle: RePEc:spr:qualqt:v:43:y:2009:i:2:p:305-315

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    Web page: http://www.springer.com/economics/journal/11135

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    Related research

    Keywords: Transmission of shocks; Causality; Generalized impulse response function; Cointegration; C22; Q13; Q18;

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    1. 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.
    2. 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.
    3. 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.
    4. Mackinnon, J.G. & Haug, A.A. & Michelis, L., 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," G.R.E.Q.A.M. 96a09, Universite Aix-Marseille III.
    5. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    6. 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.
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