A Dynamic Model of U.S. Sugar-Related Markets: A Cointegrated Vector Autoregression Approach
The methods of the cointegrated vector autoregression (VAR) 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, we apply Johansen and Juselius' advanced procedures to these markets for perhaps the first time, with focus on achievement of a statistically adequate model through analysis of a battery of advanced statistical diagnostic tests and on exploitation of the system's cointegration properties through rank restrictions, statistically supported hypotheses test restrictions, and inference. The VEC model results illuminate the estimates of crucial policy-relevant market parameters that drive these markets, as well as the dynamic nature of the relationships linking these sugar-based markets.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
- repec:ags:joaaec:v:35:y:2003:i:3:p:483-495 is not listed on IDEAS
- Goodwin, Harold L., Jr. & McKenzie, Andrew M. & Djunaidi, Harjanto, 2003. "Which Broiler Part is the Best Part?," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 35(03), December.
- Goodwin, H.L. & McKenzie, Andrew M. & Djunaidi, Harjanto, 2003. "Which Broiler Part is the Best Part?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 35(03), pages 483-495, December.
- 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.
- Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 201-12, August.
- Babula, Ronald A. & Bessler, David A. & Payne, Warren S., 2004.
"Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model,"
Journal of Agricultural and Applied Economics,
Southern Agricultural Economics Association, vol. 36(01), April.
- Babula, Ronald A. & Bessler, David A. & Payne, Warren S., 2004. "Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 36(01), pages 1-22, April.
- David A Bessler & Jian Yang & Metha Wongcharupan, 2003. "Price Dynamics in the International Wheat Market: Modeling with Error Correction and Directed Acyclic Graphs," Journal of Regional Science, Wiley Blackwell, vol. 43(1), pages 1-33.
- Moss Charles B. & Schmitz Andrew, 2004. "Delineating the Relevant U.S. Sweetener Markets," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 2(1), pages 1-19, January.
- Babula, Ronald A. & Rich, Karl M., 2001. "A Time-Series Analysis Of The U.S. Durum Wheat And Pasta Markets," Journal of Food Distribution Research, Food Distribution Research Society, vol. 32(02), July.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- David A. Bessler, 1984. "An Analysis of Dynamic Economic Relationships: An Application to the U.S. Hog Market," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 32(1), pages 109-124, 03.
- Charles Moss & Andrew Schmits, 2002. "Price behaviour in the US sweetener market: a cointegration approach," Applied Economics, Taylor & Francis Journals, vol. 34(10), pages 1273-1281.
When requesting a correction, please mention this item's handle: RePEc:ags:jlofdr:9084. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.