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

Author

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  • Babula, Ronald A.
  • Newman, Douglas

Abstract

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.

Suggested Citation

  • Babula, Ronald A. & Newman, Douglas, 2005. "Cointegrated Vector Autoregression Methods: An Application to Non-Normally Behaving Data on Selected U.S. Sugar-Related Markets," Working Paper ID Series 15878, United States International Trade Commission, Office of Industries.
  • Handle: RePEc:ags:uitcoi:15878
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    File URL: http://purl.umn.edu/15878
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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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