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Testing for Price Transmission with Seasonally Integrated Producer and Consumer Price Series from Agriculture

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  • Palaskas, Theodosios B
  • Crowe, Trevor J

Abstract

This paper attempts to examine the possible consequences of the presence of seasonal integration on the statistical tests such as those for integration and cointegration on prices of agricultural products, with reference to price transmission of seven EU member countries. Quarterly producer and consumer price series are tested using the methodology presented in Hylleberg et al. (1990). It is found that the hypothesis that some series for wheat and milk contain seasonal unit roots cannot be rejected. Standard tests for integration and cointegration which have been applied ignore these seasonal components and are thus found to lack consistency and power. It is also shown that when using filters as a solution, failure to use precisely the correct seasonal filter may also distort results. Copyright 1996 by Oxford University Press.

Suggested Citation

  • Palaskas, Theodosios B & Crowe, Trevor J, 1996. "Testing for Price Transmission with Seasonally Integrated Producer and Consumer Price Series from Agriculture," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 23(4), pages 473-486.
    • Handle: RePEc:oup:erevae:v:23:y:1996:i:4:p:473-86
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    Cited by:

    1. Adusei Jumah, 2004. "The long run, market power and retail pricing," Empirical Economics, Springer, vol. 29(3), pages 605-620, September.
    2. Adusei Jumah & Robert M. Kunst, 2008. "Seasonal prediction of European cereal prices: good forecasts using bad models?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 391-406.
    3. Jumah, Adusei & Kunst, Robert M., 2006. "Seasonal Cycles in European Agricultural Commodity Prices," Economics Series 192, Institute for Advanced Studies.
    4. Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.

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