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Testing For Seasonal Cointegration and Error Correction: The U.S. Pecan Price-Inventory Relationship

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  • Ibrahim, Mohammed
  • Florkowski, Wojciech J.

Abstract

Using time series data we examine behavior of pecan prices and inventories at zero and seasonal frequencies, given results of seasonal cointegration tests. Both, seasonally unadjusted and adjusted quarterly data are used (1991-2002). Results suggest that, first, shelled and total pecan inventories and shelled pecan prices have common unit roots at both the non-seasonal and seasonal frequencies; second, there is no long run equilibrium between pecan prices and shelled or total inventories when unadjusted data are used. Finally, the speed of adjustments suggests pecan prices adjust to shocks in inventories and not the vice versa.

Suggested Citation

  • Ibrahim, Mohammed & Florkowski, Wojciech J., 2005. "Testing For Seasonal Cointegration and Error Correction: The U.S. Pecan Price-Inventory Relationship," 2005 Annual Meeting, February 5-9, 2005, Little Rock, Arkansas 35587, Southern Agricultural Economics Association.
    • Handle: RePEc:ags:saeafl:35587
    DOI: 10.22004/ag.econ.35587
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    Cited by:

    1. Kim, Youngho & Dharmasena, Senarath, 2018. "Price Discovery and Integration in U.S. Pecan Markets," Journal of Food Distribution Research, Food Distribution Research Society, vol. 49(1), March.

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    Keywords

    Demand and Price Analysis;

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