North American Oriented Strand Board Markets , Arbitrage Activity , and Market Price Dynamics : a Smooth Transition Approach

@inproceedings{Goodwin2011NorthAO,
  title={North American Oriented Strand Board Markets , Arbitrage Activity , and Market Price Dynamics : a Smooth Transition Approach},
  author={Barry K. Goodwin and Matthew T. Holt and Jeffrey P. Prestemon},
  year={2011}
}
Price dynamics for North American oriented strand board markets are examined. The role of transactions costs are explored vis-à-vis the law of one price. Nonlinearities induced by unobservable transactions costs are modeled by estimating time-varying smooth transition autoregressions (TV-STARs). Results indicate that nonlinearity and structural change are important features of these markets; price parity relationships implied by economic theory are generally supported by the estimated models… CONTINUE READING
4 Citations
50 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 50 references

Testing the Unit Root Hypothesis against the Logistic Smooth TransitionAutoregressive Model.Working Paper Series in Economics and Finance No. 546

  • B. Eklund
  • Stockholm School of Economics,
  • 2003
Highly Influential
6 Excerpts

Threshold Cointegration

  • N. S. Balke, T. B. Fomby.
  • International Economic Review 38: 627–645.
  • 1997
Highly Influential
7 Excerpts

Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

  • T. Teräsvirta
  • Journal of the American Statistical Association…
  • 1994
Highly Influential
4 Excerpts

Structural Panel & Engineered Wood Yearbook

  • Engineered Wood Product Association
  • APA Economics Report E176.
  • 2010
2 Excerpts

Threshold Effects in Price Transmission: The Case of Brazilian Wheat, Maize, and Soya Prices

  • K. Balcombe, A. Bailey, J. Brooks.
  • American Journal of Agricultural Economics 89…
  • 2007

Time-Varying Threshold Cointegration and the Law of One Price

  • H. Park, J. W. Mjelde, D. A. Bessler.
  • Applied Economics 39: 1091–1105.
  • 2007

Similar Papers

Loading similar papers…