Testing for Price Transmission with Seasonally Integrated Producer and Consumer Price Series from Agriculture

Theodosios Palaskas and Trevor J Crowe

European Review of Agricultural Economics, 1996, vol. 23, issue 4, 473-86

Abstract: This paper attempts to examine the possible consequences of the presence of seasonal integration on the statistical tests such as those for integration and cointegration on prices of agricultural products, with reference to price transmission of seven EU member countries. Quarterly producer and consumer price series are tested using the methodology presented in Hylleberg et al. (1990). It is found that the hypothesis that some series for wheat and milk contain seasonal unit roots cannot be rejected. Standard tests for integration and cointegration which have been applied ignore these seasonal components and are thus found to lack consistency and power. It is also shown that when using filters as a solution, failure to use precisely the correct seasonal filter may also distort results. Copyright 1996 by Oxford University Press.

Date: 1996
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