This paper examines the validity of purchasing power parity (PPP) using CPI and Big Mac prices. The benchmark model, i.e., the OLS method, which does not take nonstationarity into account, rejects the hypothesis of PPP regardless of prices used. We next use the panel cointegration method to consider the nonstationary nature of variables. Estimated results for CPI are mixed. The PPP is rejected ...

Timber market and forest product market are linked and integrated through prices of their own. In this study, the presence of price transmission asymmetry is investigated for wood products sector in southern United States. Threshold cointegration and an asymmetric error correction model are employed to analyze the price dynamics between prices of standing timber, delivered timber and also two r...

We propose a testing procedure for assessing the presence of threshold effects in nonstationary vector autoregressive models with or without cointegration. Our approach involves first testing whether the long-run impact matrix characterizing the VECM type representation of the VAR switches according to the magnitude of some threshold variable and is valid regardless of whether the system is pur...

the iranian poultry sector has experienced many significant structural changes in recent years. such changes may have influenced price dynamics and transmission of shocks through marketing channels especially on retail markets. this paper investigate price transmission, threshold behavior and asymmetric adjustment in poultry sector of ardebil (ar), east azerbaijan (ea) and west azerbaijan (wa) ...

Background As middle-income countries become more affluent, economically sophisticated and productive, health expenditure patterns are likely to change. Other socio-demographic and political changes that accompany rapid economic growth are also likely to influence health spending and financial protection.   Methods This study investigates the relationship between growth on per-capita healthcare...

We consider Johansen’s (1988, 1991) cointegration tests when a Vector AutoRegressive (VAR) process of order k is used to approximate a more general linear process with a possibly infinite VAR representation. Traditional methods to select the lag order, such as Akaike’s (AIC) or the Bayesian information criteria, often lead to too parsimonious a model with the implication that the cointegration ...