COINTEGRATION BETWEEN US WHEAT MARKETS Academic Article

abstract

• ABSTRACT. Average monthly price data from twelve hinterland markets and the Houston port price for wheat are studied in a cointegration framework using the EngleGranger twostep procedure and Johansen's maximum likelihood procedure. Outofsample forecasts from an error correction model are compared to those from a vector autoregression fit to levels and a univariate autoregression fit to first differences. This comparison suggests that modeling these (cointegrated) data as a levels vector autoregression, rather than as an errorcorrection process, results in significantly higher error bias, but lower error variance, at long horizons. Copyright 1993, Wiley Blackwell. All rights reserved

authors

• Bessler, David

published proceedings

• JOURNAL OF REGIONAL SCIENCE

author list (cited authors)

• BESSLER, D. A., & FULLER, S. W.

citation count

• 19

complete list of authors

• BESSLER, DA||FULLER, SW

publication date

• November 1993

publisher

• Wiley  Publisher

published in

• Journal of Regional Science  Journal

Digital Object Identifier (DOI)

• 10.1111/j.1467-9787.1993.tb00844.x

start page

• 481

end page

• 501

volume

• 33

issue

• 4

URL

• http://dx.doi.org/10.1111/j.1467-9787.1993.tb00844.x