Testing For Seasonal Cointegration and Error Correction: The U.S. Pecan Price-Inventory Relationship

Using time series data we examine behavior of pecan prices and inventories at zero and seasonal frequencies, given results of seasonal cointegration tests. Both, seasonally unadjusted and adjusted quarterly data are used (1991-2002). Results suggest that, first, shelled and total pecan inventories and shelled pecan prices have common unit roots at both the non-seasonal and seasonal frequencies; second, there is no long run equilibrium between pecan prices and shelled or total inventories when unadjusted data are used. Finally, the speed of adjustments suggests pecan prices adjust to shocks in inventories and not the vice versa.Demand and Price Analysis,

PRICE-INVENTORY RELATIONSHIP IN THE PECAN INDUSTRY: A STUDY OF LONG- AND SHORT-RUN EFFECTS WITH SEASONAL CONSIDERATION

Demand and Price Analysis,

Forecasting Price Relationships among U.S Tree Nuts Prices

This paper investigates a vector auto regression model, using the Johansen cointegration technique, and the autoregressive integrated moving average time series models to determine the better model for forecasting US tree nut prices over the period 1992-2006. The Johansen contegration test shows lack of long run relationship among pecan, walnut, and almond prices. As such, only autoregressive integrated moving average-type models were used in forecasting U.S. nut prices.substitutability, cointegration, tree nuts, long-run equilibrium forecasting, Demand and Price Analysis, Production Economics,