The Introduction of Seasonal Unit Roots and Cointegration to Test Index Aggregation Optimality: An Application to a Spanish Farm Price Index
Posted: 5 Oct 1999
Abstract
In this paper we present a methodological proposal of the way integration and cointegration analysis can best be used to test if the level of aggregation of an index is adequate. Using this proposal, we enquire the extent to which a Spanish aggregate farm price index captures the behavior of its components.
JEL Classification: C22
Suggested Citation: Suggested Citation
Martín Álvarez, Francisco Javier and Cano-Fernandez, Victor J. and Caceres-Hernandez, José J., The Introduction of Seasonal Unit Roots and Cointegration to Test Index Aggregation Optimality: An Application to a Spanish Farm Price Index. Available at SSRN: https://ssrn.com/abstract=179536
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