A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis
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منابع مشابه
An Application of the Two-Regime Threshold Vector Error Correction Model to Analyze Asymmetric Price Transmission of Milk in Zanjan Province of Iran
In this paper asymmetric price transmission mechanism and nonlinear adjustment between producer and retail prices of milk were examined in Zanjan Province of Iran. For this purpose, a Two-Regime Threshold Vector Error Correction Model (TVECM) and a Sup-LM Test developed by Hansen and Seo (2002) were employed for checking presence of a threshold effect. Application of unit root tests indicated...
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