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The introduction of seasonal unit roots and cointegration to test index aggregation optimality: An application to a Spanish farm price index

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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.

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Authors and Affiliations

  1. Department of Applied Economics, University of La Laguna, Campus de Guajara, Camino de la Hornera s/n, 38071 La Laguna, Tenerife, Spain (e-mail: fjmartin@ull.es), , , , , , ES

    Francisco J. Martín-Álvarez, Victor J. Cano-Fernández & José J. Cáceres-Hernández

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  1. Francisco J. Martín-Álvarez
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  2. Victor J. Cano-Fernández
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  3. José J. Cáceres-Hernández
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First version received: October 1994/final version received: September 1998

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Martín-Álvarez, F., Cano-Fernández, V. & Cáceres-Hernández, J. The introduction of seasonal unit roots and cointegration to test index aggregation optimality: An application to a Spanish farm price index. Empirical Economics 24, 403–414 (1999). https://doi.org/10.1007/s001810050063

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  • DOI: https://doi.org/10.1007/s001810050063

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