COINTEGRATION BETWEEN U.S. WHEAT MARKETS Academic Article uri icon

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

published proceedings

  • Journal of Regional Science

author list (cited authors)

  • Bessler, D. A., & Fuller, S. W.

citation count

  • 18

complete list of authors

  • Bessler, David A||Fuller, Stephen W

publication date

  • November 1993

publisher