فهرست مقالات threshold vector error correction model

• دسترسی آزاد مقاله
  • صفحه چکیده
  • متن کامل
  
  1 - Price Transmission, Threshold Behavior and Asymmetric Adjustment in Iranian Poultry Market
  م. کاوسی کلاشمی پ. خلیق خیاوی خلیق خیاوی
  The Iranian poultry sector has experienced many significant structural changes in recent years. Such changes may have influenced price dynamics and transmission of shocks through marketing channels especially on retail markets. This paper investigate price transmission, چکیده کامل

  The Iranian poultry sector has experienced many significant structural changes in recent years. Such changes may have influenced price dynamics and transmission of shocks through marketing channels especially on retail markets. This paper investigate price transmission, threshold behavior and asymmetric adjustment in poultry sector of Ardebil (AR), east Azerbaijan (EA) and west Azerbaijan (WA) provinces using weekly price data for the period covering 1998 through 2012. Our analysis uses a threshold cointegration model that permits asymmetric adjustment to positive and negative price shocks. R software is used for data analyzing. Main findings reveal existence of asymmetry in price transmission for all markets. Based on minimizing of the sum of squared error (SSR) criterion the estimated threshold for EA-AR, WA-AR and EA-WA markets are (0.38, 1.217), (1.61, 0.211), (0.38, 1.95), respectively. As another try the thresholds are estimated using TVECM methodology and the same results are found. پرونده مقاله
• دسترسی آزاد مقاله
  • صفحه چکیده
  • متن کامل
  
  2 - An Application of the Two-Regime Threshold Vector Error Correction Model to Analyze Asymmetric Price Transmission of Milk in Zanjan Province of Iran
  Moharram Ainollahi Mohammad Ghahremanzadeh
  10.5455/ijamd.159562
  In this paper asymmetric price transmission mechanism and nonlinear adjustment between producer and retail prices of milk were examined in Zanjan Province of Iran. For this purpose, a Two-Regime Threshold Vector Error Correction Model (TVECM) and a Sup-LM Test developed چکیده کامل

  In this paper asymmetric price transmission mechanism and nonlinear adjustment between producer and retail prices of milk were examined in Zanjan Province of Iran. For this purpose, a Two-Regime Threshold Vector Error Correction Model (TVECM) and a Sup-LM Test developed by Hansen and Seo (2002) were employed for checking presence of a threshold effect. Application of unit root tests indicated that both wholesale and retail prices are I (1), and Johansen test verified cointegration of the series in the long-run. Results of the Sup-LM test confirmed threshold adjustment of product price towards the long-run equilibrium. Furthermore, results obtained from TVECM revealed that the coefficient of ECT is significant only in the first regime of retailing equation implying that retailers significantly respond to the decreasing deviations from the long-run equilibrium. While adjustment coefficient is not significant for wholesale equation in both regimes to imply that there is not significant inclination to react to deviations from the long-run equilibrium among the wholesalers despite the retailers. پرونده مقاله