ESTIMATION OF VECTOR AUTOREGRESSIVE PROCESSES, AN ECONOMIC APPLICATION
In applied economics it is not always necessary to have price and volume information to analyze such aspects as market globalization. Here an economic analysis is offered for situations where only price information exists. To this end multivariate time series are introduced. In particular, the estimation, identification and inference in a vector autoregressive process composed of price data are shown, in a simple way. The economic context of the example is the integration between Mexican and United States markets for rice (Oriza sativa L.), beans (Phaseolus vulgaris L.), corn (Zea mays L.), sorghum [Sorghum bicolor (L.) Moench] and wheat (Triticum aestivum L.). With the inference criterion used, evidence of integration is found only in the rice market.
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| Format: | Digital revista |
| Language: | spa |
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Colegio de Postgraduados
1998
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| Online Access: | https://www.agrociencia-colpos.org/index.php/agrociencia/article/view/1558 |
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