Do prices move together in the long run? An I(2) analysis of six price indices

Katarina Juselius

No 97-21, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: The paper discusses methodological questions related to econometric time-series modelling of I(2) data. Long-run and medium-run relationships between two general price indices, the US CPI and WPI and four commodity prices indices, the WBI, CRBI, GSCI, and ECI are investigated in a multivariate sep-up. The statistical concepts of cointegration and polynomial cointegration are related to long-run and short-run price homogeneity.

Keywords: multicointegrated VAR; I(2) analysis; commodity prices (search for similar items in EconPapers)
JEL-codes: E32 E31 (search for similar items in EconPapers)
Date: 1997-12, Revised 1999-09

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