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Cointegrated Vector Autoregression Methods: An Application to Non-Normally Behaving Data on Selected U.S. Sugar-Related Markets


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  • Babula, Ronald A.
  • Newman, Douglas
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    The methods of the cointegrated vector autoregression/error correction (VAR/VEC) model are applied to monthly U.S. markets for sugar and for sugar-using markets for confectionary, soft drink, and bakery products. Primarily a methods paper, Johansen and Juselius' methods are applied, with a special focus on addressing well-known issues that preclude statistically normal behavior, and that confront the modelled sugar-based data. In so doing, we illustrate the effectiveness and the benefits of modelling this sugar-related set of markets as a cointegrated system. Perhaps for the first time, cointegrated VEC model results are used to estimate crucial policy-relevant market parameters that drive the markets, as well as to illuminate the dynamic nature of the relationships linking these sugar-based markets.

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    Bibliographic Info

    Paper provided by United States International Trade Commission, Office of Industries in its series Working Paper ID Series with number 15878.

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    Date of creation: 2005
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    Handle: RePEc:ags:uitcoi:15878

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    Keywords: cointegration; sugar-based U.S. markets; vector autoregression; vector error correction models; Industrial Organization; Research Methods/ Statistical Methods;


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    Cited by:
    1. Anonymous, 2006. "Journal of International Agricultural Trade and Development, Volume 2, Number 2, Fall 2006," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 2(2).


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