Abstract

  


 



The Introduction of Seasonal Unit Roots and Cointegration to Test Index Aggregation Optimality: An Application to a Spanish Farm Price Index


Francisco J. Martin-Alvarez


University of La Laguna - Department of Applied Economics

Victor J. Cano-Fernandez


University of La Laguna - Department of Applied Economics

José J. Caceres-Hernandez


University of La Laguna - Department of Applied Economics

Empirical Economics, Vol. 24, Iss. 3, August, 1999

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.

JEL Classification: C22

Accepted Paper Series


Date posted: October 5, 1999  

Suggested Citation

Martin-Alvarez, Francisco J., Cano-Fernandez, Victor J. and Caceres-Hernandez, José J., The Introduction of Seasonal Unit Roots and Cointegration to Test Index Aggregation Optimality: An Application to a Spanish Farm Price Index. Empirical Economics, Vol. 24, Iss. 3, August, 1999. Available at SSRN: http://ssrn.com/abstract=179536

Contact Information

Francisco Javier Martín Álvarez (Contact Author)
University of La Laguna - Department of Applied Economics ( email )
Campus de Guajara
Camino de la Hornera s/n 38071 La Laguna
Tenerife
Spain
Victor J. Cano-Fernandez
University of La Laguna - Department of Applied Economics
Campus de Guajara
Camino de la Hornera s/n 38071 La Laguna
Tenerife
Spain
José J. Caceres-Hernandez
University of La Laguna - Department of Applied Economics
Campus de Guajara
Camino de la Hornera s/n 38071 La Laguna
Tenerife
Spain
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