Seasonal Cointegration and Seasonal Error Correction Model: Application for Analyzing Seasonal Behavior of Egg Market in North-West Provinces

Document Type : Research Paper

Authors

1 Associate Professor, Agricultural Economics, University of Tabriz

2 ََAssistant Professor, Agricultural Economics, University of Tabriz

3 PhD. Student, Agricultural Economics, University of Tabriz

Abstract

The Seasonal behavior of agricultural prices is generally a main feature of the market. In recent decades, there has been significant interest for modeling non-adjusted seasonal time series and this issue was seen as an important field in econometrics. Therefore, this study aims to analyze seasonal behavior of egg market in north-west provinces, using quarterly retail prices for the period from 1381 to 89. The EGHL-type seasonal cointegration test and seasonal error correction model (SECM) were applied. Results confirmed the existence of seasonal behavior at all frequencies. There were evidences of some cointegrating relationships at the long run frequencies between five egg price pairs of West Azerbaijan- East Azerbaijan, Ardabil-Zanjan, Zanjan-Ardabil provinces and in the annual frequencies between Ardabil-East Azerbaijan and Kordestan-Zanjan provinces. According to the estimated adjusted speeds parameters in SECM, the egg prices adjust to equilibrium after a shock. According to the results of price seasonal cointegration between regions, it is recommended that the egg price stabilization policy in a province be made in coordination with other province.

Keywords

References

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Iranian Journal of Agricultural Economics and Development Research
Volume 49, Issue 1
February 2018
Pages 1-11

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