Cointegrated Vector Autoregression Methods: An Application to Non-Normally Behaving Data on Selected U.S. Sugar-Related Markets
| dc.creator | Babula, Ronald A. | |
| dc.creator | Newman, Douglas | |
| dc.date | 2017-04-01T19:44:25Z | |
| dc.date.accessioned | 2026-07-09T03:15:44Z | |
| dc.description | 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. | |
| dc.identifier | doi:10.22004/ag.econ.15878 | |
| dc.identifier | https://ageconsearch.umn.edu/record/15878/files/id050012.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/15878 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/529413 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/15878 | |
| dc.title | Cointegrated Vector Autoregression Methods: An Application to Non-Normally Behaving Data on Selected U.S. Sugar-Related Markets | |
| dc.type | Text |