North American oriented strand board markets, arbitrage activity, and market price dynamics: A smooth transition approach

American Journal of Agricultural Economics

Volumn 93, Issue 4, 2011, Pages 993-1014

  Goodwin, Barry K ^a   Holt, Matthew T ^b   Prestemon, Jeffrey P ^c  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

^b UNIVERSITY OF ALABAMA   (United States)

^c USDA FOREST SERVICE   (United States)

Author keywords

market integration; smooth transition; transactions costs; wood products

Indexed keywords

ESTIMATION METHOD; NONLINEARITY; NUMERICAL MODEL; PRICE DYNAMICS; REGRESSION ANALYSIS; TRANSACTION COST; WOOD;

NORTH AMERICA;

EID: 80052560213     PISSN: 00029092     EISSN: 14678276     Source Type: Journal    
DOI: 10.1093/ajae/aar024     Document Type: Article

References (53)

1. Bahmani-Oskooee,A., M. Kutan, and S. Zhou. 2008. Do Real Exchange Rates Follow a Nonlinear Mean Reverting Process in Developing Countries? Southern Economic Journal 74: 1049-1062.
2. Balagtas, J. V., and M. T. Holt. 2009. The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach. American Journal of Agricultural Economics 209: 87-105.
3. Balcombe, K., A. Bailey, and J. Brooks. 2007. Threshold Effects in Price Transmission: The Case of Brazilian Wheat, Maize, and Soya Prices. American Journal of Agricultural Economics 89: 308-323.
4. Balke, N. S., and T. B. Fomby. 1997. Threshold Cointegration. International Economic Review 38: 627-645.
5. Benninga, S., and A. Protopapadakis. 1988. The Equilibrium Pricing of Exchange Rates and Assets When Trade Takes Time. Journal of International Money and Finance 7: 129-149.
6. Bessler,D.A.,and S.W. Fuller. 1993. Cointegration BetweenU.S.Wheat Markets. Journal of Regional Science 33: 485-501.
7. Buongiorno, J.,and J. Uusivuori. 1992.The Law of One Price in the Trade of Forest Products: Co-integration Tests for U.S. Exports of Pulp and Paper. Forest Science 38: 539-553.
8. Clements,M. P., and J. Smith. 1997.The Performance ofAlternativeForecasting Methods for SETAR Models. International Journal of Forecasting 13: 463-475.
9. Davies, R. B. 1977. Hypothesis Testing When a Nuisance Parameter Is Present Only Under the Alternative. Biometrika 64: 247-254.
10. -. 1987. Hypothesis Testing When a Nuisance Parameter Is Present Only Under the Alternative. Biometrika 74: 33-43.
11. Dickey,D. A., andW. A. Fuller. 1979. Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association 74: 427-431.
12. Dickey, D. A., and W. A. Fuller. 1981. Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica 49: 1057-1072.
13. Dumas,B. 1992. Dynamic Equilibrium and the Real Exchange Rate in a Spatially SeparatedWorld. Review of Financial Studies 5: 153-180.
14. Eitrheim, Ø., and T. Teräsvirta. 1996. Testing the Adequacy of Smooth Transition Autoregressive Models. Journal of Econometrics 74: 59-75.
15. Eklund, B. 2003. Testing the Unit Root Hypothesis against the Logistic Smooth TransitionAutoregressive Model.Working Paper Series in Economics and Finance No. 546, Stockholm School of Economics, November.
16. Engineered Wood Product Association 2010. Structural Panel & Engineered Wood Yearbook. APA Economics Report E176.
17. Escribano, A., and Ø. Jordá. 1999. Improved Testing and Specification of Smooth Transition Regression Models. In Nonlinear Time Series Analysis of Economic and Financial Data, ed. P. Rothman, 289-320. Boston: Kluwer.
18. Fackler,P. L., and B. K. Goodwin. 2001. Spatial Price Analysis. In Handbook of Agricultural Economics, ed. G. C. Rausser and B. L. Garnder, 972-1024. New York: Elsevier Science.
19. Fan, C. S., and X. Wei. 2006. The Law of One Price: Evidence from the Transitional Economy of China. Review of Economics and Statistics 88: 682-697.
20. Giovannini, A. 1988. Exchange Rates and Traded Goods Prices. Journal of International Economics 24: 45-68.
21. Goodwin, B. G., T. Grennes, and M. K. Wohlgenant. 1990.Testing the Law of One Price When Trade Takes Time. Journal of International Money and Finance 9: 21-40.
22. Goodwin, B. G., and N. E. Piggott. 2001. Spatial Market Integration in the Presence of Threshold Effects. American Journal of Agricultural Economics 83: 302-317.
23. Heckscher, E. F. 1916. Vaxelkursens Grundval vid Pappersmyntfot. Ekonomisk Tidskrift 18: 309-312.
24. Isard, P. 1977. How Far Can We Push the 'Law of One Price'? American Economic Review 67: 942-948.
25. Jansen, E. S., and T. Teräsvirta, T. 1996. Testing Parameter Constancy and SuperExogeneity in Econometric Equations. Oxford Bulletin of Economics and Statistics 58: 735-768.
26. Jarque, C. M., and A. K. Bera. 1980. Efficient Tests for Normality, Homoskedasticity and Serial Independence of Regression Residuals. Economics Letters 6: 255-259.
27. Jung, C., and K. Doroodian. 1994. The Law of One Price for U.S. Softwood Lumber: A Multivariate Cointegration Test. Forest Science 40: 595-600.
28. Kapetanios,G.,Y. Shin,andA. Snell. 2003.Testing for a Unit Root in the Nonlinear STAR Framework. Journal of Econometrics 112: 359-379.
29. Kilian, L., and M. P. Taylor. 2003. Why Is It so Difficult to Beat the Random Walk Forecast of Exchange Rates? Journal of International Economics 60: 85-107.
30. Koop, G., M. H. Pesaran, and S. M. Potter. 1996. Impulse Response Analysis in Nonlinear Multivariate Models. Journal of Econometrics 74: 119-147.
31. Kryzanowski, T. 1996/1997. Riding the OSB Boom. Logging & Sawmilling Journal http://www.forestnet.com/archives/index. htm. (accessed April 5, 2010).
32. Lo,M. C., and E. Zivot. 2001. Threshold Cointegration and Nonlinear Adjustment to the Law of One Price. Macroeconomic Dynamics 5: 533-576.
33. Lomnicki, Z. A. 1961. Test for the Departure From Normality in the Case of Linear Stochastic Processes. Metrika 4: 37-62.
34. Lundberg, S., T. Teräsvirta, and D. van Dijk. 2003. Time-Varying Smooth Transition Autoregressive Models. Journal of Business and Economic Statistics 21: 104-121.
35. Luukkonen,R.,P. Saikkonen,andT.Teräsvirta. 1988. Testing Linearity Against Smooth Transition Autoregressive Models. Biometrika 75: 491-499.
36. Michael,P.,A.R. Nobay,andD. Peel. 1994. Purchasing Power ParityYet Again: Evidence from Spatially Separated Markets. Journal of International Money and Finance 13: 637-657.
37. -. 1997. Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation. Journal of Political Economy 105: 862-879.
38. O'Connel, P. G. J., and S.-J. Wei. 2002. The Bigger They Are the Harder They Fall: Retail Price DifferencesAcrossU.S. Cities. Journal of International Economics 56: 21-53.
39. Park, H., J. W. Mjelde, and D. A. Bessler. 2007. Time-Varying Threshold Cointegration and the Law of One Price. Applied Economics 39: 1091-1105.
40. Paya, I. and D. A. Peel. 2004. Nonlinear Purchasing Power Parity under the Gold Standard. Southern Economic Journal 71: 302-313.
41. Persson,A., andT.Teräsvirta. 2003. Net Barter Terms of Trade: A Smooth Transition Approach. Journal of Financial Economics 8: 81-97.
42. Pielke, R. A. Jr., J. Gratz, C. W. Landsea, D. Collins, M. A. Saunders, and R. Musulin. 2008. Normalized Hurricane Damage in the United States: 1900-2005. Natural Hazards Review 9: 29-42.
43. Pollak, R. A., and T. J. Wales. 1991. The Likelihood Dominance Criterion: A New Approach to Model Selection. Journal of Econometrics 47: 227-242.
44. Richardson, D. J. 1978. Some Empirical Evidence on Commodity Arbitrage and the Law of One Price. Journal of International Economics 8: 341-351.
45. Rothe, C., and P. Sibbertsen. 2006. Phillips- Perron-Type Unit Root Tests in the Nonlinear ESTAR Framework. Allgemeines Statistisches Archiv 90: 439-456.
46. Rothman, P., D. van Dijk, and P. H. Franses. 2001. Multivariate STAR Analysis of Money-Output Relationship. Macroeconomic Dynamics 5: 506-532.
47. Sephton, P. S. 2003. Spatial Market Arbitrage and Threshold Cointegration. American Journal of Agricultural Economics 85: 1041-1046.
48. Skalin, J., and T. Teräsvirta. 2002. Modeling Asymmetries and Moving Equilibria in Unemployment Rates. Macroeconomic Dynamics 6: 202-241.
49. Taylor, M. P., D. A. Peel, and L. Sarno. 2001. Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles. International Economic Review 42: 1015-1042.
50. Taylor, N., D. van Dijk, P. H. Franses, and A. Lucas. 2000. SETS,Arbitrage Activity, and Stock Price Dynamics. Journal of Banking and Finance 24: 1289-1306.
51. Teräsvirta, T. 1994. Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models. Journal of the American Statistical Association 89: 208-218.
52. Thursby,M.C.,P. R. Johnson,andT. J. Grennes. 1986. The Law of One Price and the Modelling of Disaggregated Trade Flows. Economic Modelling 3: 293-302.
53. van Dijk, D., T. Teräsvirta, and P. H. Franses. 2002. Smooth Transition Autoregressive Models-A Survey of Recent Developments. Econometric Reviews 21: 1-47.