The Evolving Relationships between Agricultural and Energy Commodity Prices: A Shifting-Mean Vector Autoregressive Analysis
In: The Economics of Food Price Volatility
No abstract is available for this item.
|This chapter was published in: ||This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number
12810.||Handle:|| RePEc:nbr:nberch:12810||Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
More information through EDIRC
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.:
- Maximo Camacho, 2004. "Vector smooth transition regression models for US GDP and the composite index of leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 173-196.
- Matthew T. Holt & Timo Teräsvirta, 2012. "Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis," CREATES Research Papers 2012-54, Department of Economics and Business Economics, Aarhus University.
- Eyal Dvir & Kenneth S. Rogoff, 2009. "Three Epochs of Oil," NBER Working Papers 14927, National Bureau of Economic Research, Inc.
- Shu-Ling Chen & John D. Jackson & Hyeongwoo Kim & Pramesti Resiandini, 2014.
"What Drives Commodity Prices?,"
American Journal of Agricultural Economics,
Agricultural and Applied Economics Association, vol. 96(5), pages 1455-1468.
- Shu-Ling Chen & John D. Jackson & Hyeongwoo Kim & Pramesti Resiandini, 2010. "What Drives Commodity Prices?," Auburn Economics Working Paper Series auwp2010-05, Department of Economics, Auburn University.
- Shu-Ling Chen & John D. Jackson & Hyeongwoo Kim & Pramesti Resiandini, 2013. "What Drives Commodity Prices?," Auburn Economics Working Paper Series auwp2013-03, Department of Economics, Auburn University.
- Chen, Shu-Ling & Jackson, John D. & Kim, Hyeongwoo & Resiandini, Pramesti, 2012. "What Drives Commodity Prices?," MPRA Paper 40711, University Library of Munich, Germany.
- Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta, 2003. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 79-98, 06.
- van Dijk, Dick & Strikholm, Birgit & Teräsvirta, Timo, 2001. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," SSE/EFI Working Paper Series in Economics and Finance 0429, Stockholm School of Economics, revised 01 Jun 2004.
- van Dijk, D.J.C. & Strikholm, B. & Terasvirta, T., 2001. "The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series," Econometric Institute Research Papers EI 2001-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Eskandar Elmarzougui & Bruno Larue, 2013. "On the Evolving Relationship Between Corn and Oil Prices," Agribusiness, John Wiley & Sons, Ltd., vol. 29(3), pages 344-360, 06.
- Eskandar Elmarzougui & Bruno Larue, 2011. "On the Evolving Relationship between Corn and Oil Prices," Cahiers de recherche CREATE 2011-3, CREATE.
- Ghoshray, Atanu & Johnson, Ben, 2010. "Trends in world energy prices," Energy Economics, Elsevier, vol. 32(5), pages 1147-1156, September.
- Walter Enders & Junsoo Lee, 2012. "A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(4), pages 574-599, 08.
- Maslyuk, Svetlana & Smyth, Russell, 2008. "Unit root properties of crude oil spot and futures prices," Energy Policy, Elsevier, vol. 36(7), pages 2591-2600, July.
- Svetlana Maslyuk & Russell Smyth, 2007. "Unit Root Properties of Crude Oil Spot and Futures Prices," Monash Economics Working Papers 40-07, Monash University, Department of Economics.
- Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June.
- Barry K. Goodwin & Matthew T. Holt & Jeffrey P. Prestemon, 2011. "North American Oriented Strand Board Markets, Arbitrage Activity, and Market Price Dynamics: A Smooth Transition Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 93(4), pages 993-1014.
- Prodan, Ruxandra, 2008. "Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 50-65, January.
- Ruxandra Prodan, 2004. "Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity," Econometric Society 2004 North American Summer Meetings 90, Econometric Society.
- Kelvin Balcombe & George Rapsomanikis, 2008. "Bayesian Estimation and Selection of Nonlinear Vector Error Correction Models: The Case of the Sugar-Ethanol-Oil Nexus in Brazil," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 90(3), pages 658-668. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:nbr:nberch:12810. 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: ()
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.