The introduction of seasonal unit roots and cointegration to test index aggregation optimality: An application to a Spanish farm price index

Francisco J. MartÎn-âlvarez (), Victor J. Cano-FernÂndez () and José Juan Cáceres-Hernández
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Francisco J. MartÎn-âlvarez: Department of Applied Economics, University of La Laguna, Campus de Guajara, Camino de la Hornera s/n, 38071 La Laguna, Tenerife, Spain
Victor J. Cano-FernÂndez: Department of Applied Economics, University of La Laguna, Campus de Guajara, Camino de la Hornera s/n, 38071 La Laguna, Tenerife, Spain

Empirical Economics, 1999, vol. 24, issue 3, 403-414

Abstract: In this paper we present a methodological proposal of the way integration and cointegration analysis can best be used to test if the level of aggregation of an index is adequate. Using this proposal, we enquire the extent to which a Spanish aggregate farm price index captures the behavior of its components.

Keywords: Price; index; ·; cointegration; ·; shared; trends (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 1999-08-16
Note: received: October 1994/final version received: September 1998
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Citations: View citations in EconPapers (3)

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