A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis
Year of publication: |
2008
|
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Authors: | Ihle, Rico ; von Cramon-Taubadel, Stephan |
Institutions: | Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign |
Subject: | price transmission | market integration | threshold vector error correction model | Markov-switching vector error correction model | comparison | nonlinear time series analysis | Agricultural Finance |
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