Tb. Palaskas et Tj. Crowe, TESTING FOR PRICE TRANSMISSION WITH SEASONALLY INTEGRATED PRODUCER AND CONSUMER PRICE SERIES FROM AGRICULTURE, European review of agricultural economics, 23(4), 1996, pp. 473-486
This paper attempts to examine the possible consequences of the presen
ce of seasonal integration on the statistical tests such as those for
integration and cointegration on prices of agricultural products, with
reference to price transmission of seven EU member countries. Quarter
ly producer and consumer price series are tested using the methodology
presented in Hylleberg et al. (1990). It is found that the hypothesis
that some series for soft wheat and milk contain seasonal unit roots
cannot be rejected. Standard tests for integration and cointegration w
hich have been applied ignore these seasonal components and are thus f
ound to lack consistency and power. It is also shown that when using f
ilters as a solution, failure to use precisely the correct seasonal fi
lter may also distort results.