A new econometric test for asymmetric price adjustment by cointegration vector restrictions with an application to the U.S. and Dutch pork chains
AbstractA new test of asymmetric price adjustment is proposed on the basis of the super-consistent cointegrating vector estimator in the Johansen (1995) cointegrating procedure. The super-consistency makes the test robust to misspecifications in the short-run model. Application of the test to the price spreads in the Dutch and U.S. pork chains reveals that in the Netherlands wholesalers might obtain extra price margin as a consequence of asymmetric price adjustment vis-à-vis the farmers.
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Bibliographic InfoPaper provided by European Association of Agricultural Economists in its series 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland with number 114685.
Date of creation: 02 Sep 2011
Date of revision:
Agribusiness; Livestock Production/Industries;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-15 (All new papers)
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