| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 977688 | Physica A: Statistical Mechanics and its Applications | 2006 | 10 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Yilmaz Akdi, Hakan Berument, Seyit Mümin Cilasun,