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Bayesian Estimation and Selection of Nonlinear Vector Error Correction Models: The Case of the Sugar‐Ethanol‐Oil Nexus in Brazil
6 references·16 citing·42 second hop
Bayesian Estimation and Selection of Nonlinear Vector Error Correction Models: The Case of the Sugar‐Ethanol‐Oil Nexus in Brazil (2008)Bayesian Estimation and Selection of Nonl…Threshold Effects in Cointegrating Relationships* (2006)Threshold Effects in Cointegr…TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS (2006)TESTING FOR COINTEGRATION IN …Testing linearity in cointegrating smooth transition regressions (2004)Testing linearity in cointegr…Testing for two-regime threshold cointegration in vector error-correction models (2002)Testing for two-regime thresh…Distinguishing between Equilibrium and Integration in Spatial Price Analysis (2002)Distinguishing between Equili…Spatial Market Integration in the Presence of Threshold Effects (2001)Spatial Market Integration in…The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach (2023)The asymmetric effects of oil…Impacts of COVID‐19 and Price Transmission in U.S. Meat Markets (2021)Impacts of COVID‐19 and Price…On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework (2019)On the relation between globa…Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1 (2019)Exploring the time-frequency …Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops (2019)Correlation dynamics of crude…THE ROLE OF BIOFUELS IN FOOD COMMODITY PRICES VOLATILITY AND LAND USE (2017)THE ROLE OF BIOFUELS IN FOOD …On the link between oil and agricultural commodity prices: Do biofuels matter? (2017)On the link between oil and a…Interdependence between crude oil and world food prices: A detrended cross correlation analysis (2017)Interdependence between crude…Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets (2012)Volatility Spillovers in U.S.…Regime Shifts in the Fish Meal/Soybean Meal Price Ratio (2012)Regime Shifts in the Fish Mea…Price volatility in food markets: can stock building mitigate price fluctuations? (2012)Price volatility in food mark…Non-parametric and parametric modeling of biodiesel, sunflower oil, and crude oil price relationships (2012)Non-parametric and parametric…Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets (2012)Inside the Black Box: the Pri…Considering macroeconomic indicators in the food before fuel nexus (2012)Considering macroeconomic ind…Assessing the impact of US ethanol on fossil fuel markets: A structural VAR approach (2011)Assessing the impact of US et…Vegetable oil market and biofuel policy: An asymmetric cointegration approach (2009)Vegetable oil market and biof…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Economic spillovers between related derivatives markets: The case of commodity and freight markets (2014)Spillovers between food and energy prices and structural breaks (2016)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Residual-based tests for cointegration in models with regime shifts (1996)Sample Splitting and Threshold Estimation (2000)Spatial Price Adjustment with and without Trade* (2011)Vertical price transmission in the US beef sector: Evidence from the nonlinear ARDL model (2015)Testing Market Integration (1986)Contestable Markets: An Uprising in the Theory of Industry Structure (2003)Modelling trends in food market integration: Method and an application to Tanzanian maize markets (2006)Threshold Effects in Price Transmission: The Case of Brazilian Wheat, Maize, and Soya Prices (2007)Transmission of World Food Price Changes to Markets in Sub-Saharan Africa (2010)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Food versus fuel: An updated and expanded evidence (2017)Examining crude oil price outlook amidst substitute energy price and household energy expenditure in the USA: A novel nonparametric multivariate QQR approach (2023)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)The nonlinear impacts of industrial structure on China's energy intensity (2014)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in three‐regime SETAR models (2006)RECONSIDERING THE INVESTMENT–PROFIT NEXUS IN FINANCE‐LED ECONOMIES: AN ARDL‐BASED APPROACH (2008)What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration (2012)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Threshold Cointegration (1997)Asymmetric Price Transmission: A Survey (2004)A literature survey on energy–growth nexus (2009)Survey of the international evidence on the causal relationship between energy consumption and growth (2010)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models (2016)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives (2020)Analyzing the time-frequency connectedness among oil, gold prices and BRICS geopolitical risks (2021)Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications (2022)ECONOMETRIC MODELS OF ASYMMETRIC PRICE TRANSMISSION (2007)Biofuel-related price transmission literature: A review (2013)Corn cash price forecasting with neural networks (2021)
this work references cited by second hop

References

  • 2002Testing for two-regime threshold cointegration in vector error-correction models847 cited
  • 2001Spatial Market Integration in the Presence of Threshold Effects505 cited
  • 2002Distinguishing between Equilibrium and Integration in Spatial Price Analysis363 cited
  • 2006TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS259 cited
  • 2004Testing linearity in cointegrating smooth transition regressions116 cited
  • 2006Threshold Effects in Cointegrating Relationships*103 cited

Cited by

  • 2012Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets162 cited
  • 2019Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1136 cited
  • 2009Vegetable oil market and biofuel policy: An asymmetric cointegration approach98 cited
  • 2012Non-parametric and parametric modeling of biodiesel, sunflower oil, and crude oil price relationships98 cited
  • 2012Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets95 cited
  • 2012Price volatility in food markets: can stock building mitigate price fluctuations?93 cited
  • 2017On the link between oil and agricultural commodity prices: Do biofuels matter?92 cited
  • 2012Considering macroeconomic indicators in the food before fuel nexus

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92 cited
  • 2021Impacts of COVID‐19 and Price Transmission in U.S. Meat Markets88 cited
  • 2017Interdependence between crude oil and world food prices: A detrended cross correlation analysis87 cited
  • 2019On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework80 cited
  • 2012Regime Shifts in the Fish Meal/Soybean Meal Price Ratio80 cited
  • 2011Assessing the impact of US ethanol on fossil fuel markets: A structural VAR approach79 cited
  • 2017THE ROLE OF BIOFUELS IN FOOD COMMODITY PRICES VOLATILITY AND LAND USE79 cited
  • 2023The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach79 cited
  • 2019Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops77 cited