Time-series-based econometrics: unit roots and co-integrations
In: Advanced texts in econometrics
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In: Advanced texts in econometrics
In: Advanced texts in econometrics
In: CAR (CEPMLP Annual Review): CAR Volume 14, 2011
SSRN
In: Ghana journal of development studies, Band 4, Heft 2
ISSN: 0855-6768
In: Environmental science and pollution research: ESPR, Band 23, Heft 10, S. 9934-9943
ISSN: 1614-7499
In: International journal of academic research in business and social sciences: IJ-ARBSS, Band 4, Heft 7
ISSN: 2222-6990
In: International journal of academic research in business and social sciences: IJ-ARBSS, Band 5, Heft 1
ISSN: 2222-6990
In: International journal of academic research in business and social sciences: IJ-ARBSS, Band 5, Heft 1
ISSN: 2222-6990
This paper tests market co-integration, market leadership and price margins in the context of the recent development of European markets for imported off-season fresh fruit from countries in the southern hemisphere. The Engle-Granger and Johansen co-integration tests show that the main European markets for off-season fresh apples and table grapes were well integrated during the 1994-97 period. The vector autoregressive - error correction mechanism (VAR-ECM) model form is used to characterise the spatial co-integrating relationships among these markets during the same period. Statistical tests on meaningful restrictions on these VAR-ECM models show that the major import market of Rotterdam significantly leads the wholesale markets for table grapes in Germany down the supply chain but does not lead the wholesale markets in France and Germany for apples. They also show higher price margins between the import and wholesale markets for table grapes than for apples. The table grape variety imported from South Africawas consistently traded at a higher price during the 1994-98 period compared to the same variety from Chile. Using an industry survey, this paper discusses the econometric results and provides recommendations.
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This paper tests market co-integration, market leadership and price margins in the context of the recent development of European markets for imported off-season fresh fruit from countries in the southern hemisphere. The Engle-Granger and Johansen co-integration tests show that the main European markets for off-season fresh apples and table grapes were well integrated during the 1994-97 period. The vector autoregressive - error correction mechanism (VAR-ECM) model form is used to characterise the spatial co-integrating relationships among these markets during the same period. Statistical tests on meaningful restrictions on these VAR-ECM models show that the major import market of Rotterdam significantly leads the wholesale markets for table grapes in Germany down the supply chain but does not lead the wholesale markets in France and Germany for apples. They also show higher price margins between the import and wholesale markets for table grapes than for apples. The table grape variety imported from South Africawas consistently traded at a higher price during the 1994-98 period compared to the same variety from Chile. Using an industry survey, this paper discusses the econometric results and provides recommendations.
BASE
In: FEDS Working Paper No. 96
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SSRN
Working paper
In: Capital Markets Review, Band 30(1), Heft 51-64
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In: Discussion paper 914
In: Economic Models, S. 201-222