The relationship between different price indices: evidence from Turkey

Files

The relationship between different price indices Evidence from Turkey.pdf (253.48 KB)

Date

2006

Authors

Editor(s)

Advisor

Supervisor

Co-Advisor

Co-Supervisor

Instructor

Source Title

Physica A : Statistical Mechanics and its Applications

Print ISSN

0378-4371

Electronic ISSN

1873-2119

Publisher

Elsevier BV

Volume

360

Issue

2

Pages

483 - 492

Language

English

Type

Article

Journal Title

Journal ISSN

Volume Title

Series

Abstract

A possible relationship between the Consumer Price Index and the Wholesale Price Index has been analyzed for long and short-run relationships. Conventional Engle and Granger [Estimation Test Econ. 55(1987) 2251-276] and Johansen's [J. Econ. Dyn. Control 12 (1988) 231-254] cointegration tests give mixed evidence for a possible long-run relationship between those two series. The model-free and seasonally robust periodogram-based test fails to reject the null of no-cointegration relationship. However, these two series move together in the short run. © 2005 Elsevier B.V. All rights reserved.

Course

Other identifiers

Book Title

Keywords

Cointegration , Periodogram , Price indices , Cost benefit analysis , Estimation , Integration , Mathematical models , Statistical methods

Citation

Permalink

http://hdl.handle.net/11693/23866

item.page.isversionof

http://dx.doi.org/10.1016/j.physa.2005.05.037

Collections

Department of Economics