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Producer price adjustment to commodity price shocks: An application of threshold cointegration

✍ Scribed by Julie Subervie


Book ID
116424317
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
630 KB
Volume
28
Category
Article
ISSN
0264-9993

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This paper discusses the practical application of identiΓΏcation in cointegrated systems. It will argue that in a common realistic modelling situation of a limited data set and the theory requirements of a fairly rich model, the techniques proposed in the existing literature are almost impossible to