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Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models

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Cited by:

  1. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
  2. Stéphane Von Cramon-Taubadel & Jens-Peter Loy, 1998. "Estimation des transmissions de prix asymétriques avec des prix intégrés [Une application au marché mondial du blé]," Économie rurale, Programme National Persée, vol. 243(1), pages 30-39.
  3. Dietmar Bauer & Martin Wagner, 2002. "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften dp0204, Universitaet Bern, Departement Volkswirtschaft.
  4. Costas Milas & Jesús Otero & Theodore Panagiotidis, 2004. "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 277-288.
  5. Mármol, Francesc & Dolado, Juan José, 1998. "FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 4672, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Michael Arghyrou & Christopher Martin & Costas Milas, 2005. "Non-linear inflationary dynamics: evidence from the UK," Oxford Economic Papers, Oxford University Press, vol. 57(1), pages 51-69, January.
  7. Sylwester Bejger, 2019. "Wholesale fuel price adjustment in Poland: examination of competi-tive performance," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, vol. 18(4), pages 385-412, December.
  8. Carlo Fezzi & Derek Bunn, 2010. "Structural Analysis of Electricity Demand and Supply Interactions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(6), pages 827-856, December.
  9. Maccini, Louis J. & Moore, Bartholomew & Schaller, Huntley, 2015. "Inventory behavior with permanent sales shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 290-313.
  10. Bagnai, Alberto & Mongeau Ospina, Christian Alexander, 2015. "Long- and short-run price asymmetries and hysteresis in the Italian gasoline market," Energy Policy, Elsevier, vol. 78(C), pages 41-50.
  11. Ning, Zhuo & Sun, Changyou, 2014. "Vertical price transmission in timber and lumber markets," Journal of Forest Economics, Elsevier, vol. 20(1), pages 17-32.
  12. Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016. "Automatic identification of general vector error correction models," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 10, pages 1-41.
  13. Bernard Njindan Iyke, 2015. "On the Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment," Working Papers 557, Economic Research Southern Africa.
  14. Mosconi, Rocco & Paruolo, Paolo, 2017. "Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order," Journal of Econometrics, Elsevier, vol. 198(2), pages 271-276.
  15. Chung-Wei Kao & Jer-Yuh Wan, 2017. "Energy Consumption and Economic Growth: Further Evidence from Taiwan," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(7), pages 165-178, July.
  16. Haldrup, Niels & Hylleberg, Svend & Pons, Gabriel & Sanso, Andreu, 2007. "Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 21-32, January.
  17. Kenneth D. West & David W. Wilcox, 1993. "Some evidence on finite sample behavior of an instrumental variables estimator of the linear quadratic inventory model," Finance and Economics Discussion Series 93-29, Board of Governors of the Federal Reserve System (U.S.), revised 1993.
  18. Lance J. Bachmeier & James M. Griffin, 2003. "New Evidence on Asymmetric Gasoline Price Responses," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 772-776, August.
  19. Brendan K. Beare & Won-Ki Seo, 2017. "Representation of I(1) and I(2) autoregressive Hilbertian processes," Papers 1701.08149, arXiv.org, revised Sep 2019.
  20. Steven Cook, 2003. "A sensitivity analysis of threshold determination for asymmetric error correction models," Applied Economics Letters, Taylor & Francis Journals, vol. 10(10), pages 611-616.
  21. Haldrup, Niels & Salmon, Mark, 1998. "Representations of I(2) cointegrated systems using the Smith-McMillan form," Journal of Econometrics, Elsevier, vol. 84(2), pages 303-325, June.
  22. Arestis, Philip & Mariscal, Iris Biefang-Frisancho, 1998. "Capital shortages and asymmetries in UK unemployment," Structural Change and Economic Dynamics, Elsevier, vol. 9(2), pages 189-204, June.
  23. Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2014. "Forecasting the oil–gasoline price relationship: Do asymmetries help?," Energy Economics, Elsevier, vol. 46(S1), pages 44-56.
  24. Katarzyna Leszkiewicz-Kędzior & Aleksander Welfe, 2014. "Asymmetric Price Adjustments in the Fuel Market," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 6(2), pages 105-127, June.
  25. Amir Kia & Norman Gardner, 2009. "Analyzing the Fiscal Process under a Stochastic Environment: Evidence from Egypt," Working Papers 475, Economic Research Forum, revised Mar 2009.
  26. Ederington, Louis H. & Fernando, Chitru S. & Hoelscher, Seth A. & Lee, Thomas K. & Linn, Scott C., 2019. "A review of the evidence on the relation between crude oil prices and petroleum product prices," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 1-15.
  27. Alan Carruth & Andrew Dickerson, 2003. "An asymmetric error correction model of UK consumer spending," Applied Economics, Taylor & Francis Journals, vol. 35(6), pages 619-630.
  28. Theodore Panagiotidis, 2010. "Market efficiency and the Euro: the case of the Athens stock exchange," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 37(3), pages 237-251, July.
  29. Bruns, Stephan B. & Csereklyei, Zsuzsanna & Stern, David I., 2020. "A multicointegration model of global climate change," Journal of Econometrics, Elsevier, vol. 214(1), pages 175-197.
  30. Tom Engsted & Niels Haldrup & Boriss Siliverstovs, 2004. "Long-run forecasting in multicointegrated systems," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(5), pages 315-335.
  31. Dirk Baur & Duy Tran, 2014. "The long-run relationship of gold and silver and the influence of bubbles and financial crises," Empirical Economics, Springer, vol. 47(4), pages 1525-1541, December.
  32. Grasso, Margherita & Manera, Matteo, 2007. "Asymmetric error correction models for the oil-gasoline price relationship," Energy Policy, Elsevier, vol. 35(1), pages 156-177, January.
  33. Stavros Malkidis & Stilianos Fountas, 2020. "Liquid fuel price adjustment in Greece:a two-stage, threshold cointegration approach," Discussion Paper Series 2020_04, Department of Economics, University of Macedonia, revised May 2020.
  34. Machado, Roberto & Zuloeta, José, 2012. "The Impact of the Business Cycle on Elasticities of Tax Revenue in Latin America," IDB Publications (Working Papers) 4064, Inter-American Development Bank.
  35. Ben Salem, Melika & Jacques, Jean-Francois, 1999. "Contribution of aggregate and sectoral shocks to the dynamics of inventories:: An empirical study with French and American data," International Journal of Production Economics, Elsevier, vol. 59(1-3), pages 33-42, March.
  36. Ankamah-Yeboah, Isaac, 2012. "Spatial Price Transmission in the Regional Maize Markets in Ghana," MPRA Paper 49720, University Library of Munich, Germany.
  37. Marzinotto, Benedicta & Turrini, Alessandro, 2016. "Co-movements between Public and Private Wages in the EU: Which Factors Play a Role?," IZA Discussion Papers 9964, Institute of Labor Economics (IZA).
  38. Corrado, Luisa & Holly, Sean, 2003. "Nonlinear Phillips curves, mixing feedback rules and the distribution of inflation and output," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 467-492, December.
  39. Amba Oyon Claude Marius & Taoufiki Mbratana & Kane Gilles Quentin, 2017. "Assessing the current account sustainability in ECCAS economies: A dual cointegration analysis," Economics Bulletin, AccessEcon, vol. 37(3), pages 1873-1894.
  40. Zouheir Ahmed Mighri & Majid Ibrahim Alsaggaf, 2019. "Asymmetric Threshold Cointegration and Nonlinear Adjustment between Oil Prices and Financial Stress," International Journal of Energy Economics and Policy, Econjournals, vol. 9(3), pages 87-105.
  41. Campos, Eduardo Lima & Cysne, Rubens Penha, 2019. "Sustainability of Brazilian public debt: analysis of a possible structural break in the recent period," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 806, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  42. Corrado, L. & Holly, S., 2000. "Piecewise Linear Feedback Rules in a Non Linear Model of the Phillips Curve: Evidence from the US and the UK," Cambridge Working Papers in Economics 0019, Faculty of Economics, University of Cambridge.
  43. Kapetanios, G., 1999. "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics 9905, Faculty of Economics, University of Cambridge.
  44. Balaguer, Jacint & Ripollés, Jordi, 2012. "Testing for price response asymmetries in the Spanish fuel market. New evidence from daily data," Energy Economics, Elsevier, vol. 34(6), pages 2066-2071.
  45. del Barrio Castro, Tomás & Cubada, Ginaluca & Osborn, Denise R., 2020. "On cointegration for processes integrated at different frequencies," MPRA Paper 102611, University Library of Munich, Germany.
  46. Hassler, Uwe, 2007. "Multicointegration under measurement errors," Economics Letters, Elsevier, vol. 96(1), pages 38-44, July.
  47. Enders, Walter & Siklos, Pierre L, 2001. "Cointegration and Threshold Adjustment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 166-176, April.
  48. Ramey, Valerie A. & West, Kenneth D., 1999. "Inventories," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.),Handbook of Macroeconomics, edition 1, volume 1, chapter 13, pages 863-923, Elsevier.
  49. Juan Carlos Vargas Berdugo, 2004. "Cuenta corriente y restricción presupuestaria intertemporal: un contraste de la viabilidad del financiamiento externo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 22(45), pages 58-78, June.
  50. Marianne Sensier, 2003. "Inventories and asymmetric business cycle fluctuations in the UK: a structural approach," Applied Economics, Taylor & Francis Journals, vol. 35(4), pages 387-402.
  51. Sercan Eraslan, 2019. "Asymmetric arbitrage trading on offshore and onshore renminbi markets," Empirical Economics, Springer, vol. 57(5), pages 1653-1675, November.
  52. Enders, Walter & Sandler, Todd, 1998. "Transnational Terrorism in the Post-Cold War Era," ISU General Staff Papers 199804010800001308, Iowa State University, Department of Economics.
  53. Michael Arghyrou, 2009. "Monetary policy before and after the euro: evidence from Greece," Empirical Economics, Springer, vol. 36(3), pages 621-643, June.
  54. Kaufmann, Robert K. & Ullman, Ben, 2009. "Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices," Energy Economics, Elsevier, vol. 31(4), pages 550-558, July.
  55. Berument, M. Hakan & Sahin, Afsin & Sahin, Serkan, 2014. "The relative effects of crude oil price and exchange rate on petroleum product prices: Evidence from a set of Northern Mediterranean countries," Economic Modelling, Elsevier, vol. 42(C), pages 243-249.
  56. Bairagi, S. & Mohanty, S., 2018. "Analysis of Price Transmission along the Cambodian Rice Value Chain," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277022, International Association of Agricultural Economists.
  57. Robert M. deJong, 2000. "Nonlinear Minimization Estimators in the Presence of Cointegrating Relations," Econometric Society World Congress 2000 Contributed Papers 1651, Econometric Society.
  58. Boriss Siliverstovs, 2006. "Multicointegration in US consumption data," Applied Economics, Taylor & Francis Journals, vol. 38(7), pages 819-833.
  59. Liu, Yamei, 2000. "Overfitting and forecasting: linear versus non-linear time series models," ISU General Staff Papers 2000010108000014914, Iowa State University, Department of Economics.
  60. Holm, T. & Loy, J.-P. & Steinhagen, C., 2013. "Bio auch bei der Preissetzung: Konsummilch in Deutschland," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 48, March.
  61. Tsagkanos, Athanasios & Siriopoulos, Costas, 2015. "Stock markets and industrial production in north and south of Euro-zone: Asymmetric effects via threshold cointegration approach," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 162-172.
  62. Martin Wagner, 2010. "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(3), pages 273-305, September.
  63. Hamid Baghestani & Bassam M. AbuAl-Foul, 2019. "Dynamics between Oil Prices and UAE Effective Exchange Rates: An Empirical Examination," Review of Economics & Finance, Better Advances Press, Canada, vol. 16, pages 89-103, May.
  64. Kanjilal, Kakali & Ghosh, Sajal, 2017. "Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model," Resources Policy, Elsevier, vol. 52(C), pages 358-365.
  65. Fasoula, Evanthia & Schweikert, Karsten, 2018. "Price regulations and price adjustment dynamics: Evidence from the Austrian retail fuel market," Hohenheim Discussion Papers in Business, Economics and Social Sciences 08-2018, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
  66. McMillan, David G., 2005. "Smooth-transition error-correction in exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 16(2), pages 217-232, August.
  67. Lunsford, Kurt G., 2015. "Forecasting residential investment in the United States," International Journal of Forecasting, Elsevier, vol. 31(2), pages 276-285.
  68. de-Graft Acquah, Henry & De-Graft Acquah, Joyce, 2015. "An Application of the Error Correction Model in Analyzing the Long Run Equilibrium between Ghana’s Exports and Imports," APSTRACT: Applied Studies in Agribusiness and Commerce, AGRIMBA, vol. 9(3), pages 1-6, December.
  69. Williams, Brent D. & Waller, Matthew A. & Ahire, Sanjay & Ferrier, Gary D., 2014. "Predicting retailer orders with POS and order data: The inventory balance effect," European Journal of Operational Research, Elsevier, vol. 232(3), pages 593-600.
  70. Mkhabela, Thulasizwe S. & Nyhodo, Bonani, 2011. "Farm and Retail Prices in the South African Poultry Industry: Do the Twain Meet?," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 14(3), pages 1-20, September.
  71. Francis Kwaw Andoh & Nehemiah E. Osoro & Eliab Luvanda, 2019. "Growth Dynamics of Value-Added Tax Revenue in Ghana," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 13(2), June.
  72. Kourtzidis, Stavros A. & Tzeremes, Panayiotis & Tzeremes, Nickolaos G., 2018. "Re-evaluating the energy consumption-economic growth nexus for the United States: An asymmetric threshold cointegration analysis," Energy, Elsevier, vol. 148(C), pages 537-545.
  73. Szymon Wlazlowski & Monica Giulietti & Jane Binner & Costas Milas, 2008. "Smooth Transition Models in Price Transmission," Working Paper series 04_08, Rimini Centre for Economic Analysis.
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  75. Benedicta Marzinotto & Alessandro Turrini, 2017. "Co-movements between public and private wages in the EU: what factors and with what policy implications?," IZA Journal of European Labor Studies, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 6(1), pages 1-16, December.
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  78. Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
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  80. Henry de-Graft Acquah, 2013. "A Comparison of Bootstrap and Monte Carlo Approaches to Testing for Symmetry in the Granger and Lee Error Correction Model," Information Management and Business Review, AMH International, vol. 5(5), pages 240-244.
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  82. Nick, Sebastian, 2013. "Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets," EWI Working Papers 2013-14, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
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