Академический Документы
Профессиональный Документы
Культура Документы
Hands-on-Session
FP
1234.80
1234.80
1198.00
1198.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1190.00
1220.20
1223.60
1192.40
1209.00
1236.00
1236.00
1249.20
1249.20
1249.20
1249.20
1249.20
1242.80
1242.80
1256.40
1276.60
1276.60
1276.60
1277.40
1305.20
1336.80
1349.00
1349.00
1349.00
1378.40
1352.20
1358.20
SP_Karnal
1132.50
1140.00
1137.50
1130.00
1132.50
1157.50
1130.00
1132.50
1130.00
1130.00
1135.00
1140.00
1135.00
1142.50
1125.00
1125.00
1130.00
1130.00
1135.00
1135.00
1140.00
1132.50
1132.50
1140.00
1142.50
1136.00
1167.50
1167.50
1135.00
1125.00
1200.00
1200.00
1200.00
1180.00
1165.00
1145.00
1260.00
1275.00
1250.00
1337.50
1300.00
1250.00
1305.00
1325.00
1325.00
1300.00
1300.00
1350.00
Log_FP
7.12
7.12
7.09
7.09
7.08
7.08
7.08
7.08
7.08
7.08
7.08
7.08
7.08
7.08
7.08
7.08
7.08
7.08
7.08
7.08
7.08
7.08
7.11
7.11
7.08
7.10
7.12
7.12
7.13
7.13
7.13
7.13
7.13
7.13
7.13
7.14
7.15
7.15
7.15
7.15
7.17
7.20
7.21
7.21
7.21
7.23
7.21
7.21
Log_SP_Karnal
7.03
7.04
7.04
7.03
7.03
7.05
7.03
7.03
7.03
7.03
7.03
7.04
7.03
7.04
7.03
7.03
7.03
7.03
7.03
7.03
7.04
7.03
7.03
7.04
7.04
7.04
7.06
7.06
7.03
7.03
7.09
7.09
7.09
7.07
7.06
7.04
7.14
7.15
7.13
7.20
7.17
7.13
7.17
7.19
7.19
7.17
7.17
7.21
Hands-on-Session
6-Nov-09
7-Nov-09
9-Nov-09
10-Nov-09
11-Nov-09
12-Nov-09
13-Nov-09
14-Nov-09
16-Nov-09
17-Nov-09
18-Nov-09
19-Nov-09
20-Nov-09
21-Nov-09
23-Nov-09
24-Nov-09
25-Nov-09
26-Nov-09
27-Nov-09
30-Nov-09
1-Dec-09
2-Dec-09
3-Dec-09
4-Dec-09
5-Dec-09
7-Dec-09
8-Dec-09
9-Dec-09
10-Dec-09
11-Dec-09
12-Dec-09
14-Dec-09
15-Dec-09
16-Dec-09
17-Dec-09
18-Dec-09
19-Dec-09
21-Dec-09
22-Dec-09
23-Dec-09
24-Dec-09
26-Dec-09
28-Dec-09
29-Dec-09
30-Dec-09
31-Dec-09
1-Jan-10
2-Jan-10
4-Jan-10
5-Jan-10
6-Jan-10
7-Jan-10
8-Jan-10
9-Jan-10
11-Jan-10
12-Jan-10
1353.60
1354.60
1335.20
1307.20
1336.80
1337.20
1317.60
1304.80
1324.20
1343.20
1361.80
1372.00
1357.60
1365.00
1365.00
1370.20
1351.20
1360.00
1358.80
1369.00
1355.20
1355.20
1361.40
1366.00
1367.60
1375.20
1358.00
1363.80
1339.20
1344.00
1342.40
1334.00
1297.40
1276.40
1279.00
1278.40
1297.60
1275.40
1270.80
1266.20
1280.00
1290.60
1284.80
1280.00
1286.00
1285.20
1278.40
1296.80
1291.60
1292.00
1294.00
1299.00
1313.40
1322.80
1327.80
1341.00
1400.00
1400.00
1400.00
1400.00
1412.50
1425.00
1400.00
1405.50
1405.50
1400.00
1400.00
1407.50
1400.00
1400.00
1400.00
1400.00
1390.00
1392.50
1400.00
1400.00
1395.00
1400.00
1390.00
1390.00
1390.00
1400.00
1400.00
1400.00
1400.00
1400.00
1400.00
1400.00
1400.00
1400.00
1400.00
1400.00
1400.00
1390.00
1390.00
1400.00
1370.00
1385.00
1390.00
1390.00
1385.00
1392.50
1395.00
1395.00
1375.00
1390.00
1387.50
1412.50
1400.00
1400.00
1370.00
1370.00
7.21
7.21
7.20
7.18
7.20
7.20
7.18
7.17
7.19
7.20
7.22
7.22
7.21
7.22
7.22
7.22
7.21
7.22
7.21
7.22
7.21
7.21
7.22
7.22
7.22
7.23
7.21
7.22
7.20
7.20
7.20
7.20
7.17
7.15
7.15
7.15
7.17
7.15
7.15
7.14
7.15
7.16
7.16
7.15
7.16
7.16
7.15
7.17
7.16
7.16
7.17
7.17
7.18
7.19
7.19
7.20
7.24
7.24
7.24
7.24
7.25
7.26
7.24
7.25
7.25
7.24
7.24
7.25
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.24
7.22
7.23
7.24
7.24
7.23
7.24
7.24
7.24
7.23
7.24
7.24
7.25
7.24
7.24
7.22
7.22
Hands-on-Session
13-Jan-10
14-Jan-10
15-Jan-10
16-Jan-10
18-Jan-10
19-Jan-10
20-Jan-10
21-Jan-10
22-Jan-10
23-Jan-10
25-Jan-10
27-Jan-10
28-Jan-10
29-Jan-10
30-Jan-10
1-Feb-10
2-Feb-10
3-Feb-10
4-Feb-10
5-Feb-10
6-Feb-10
8-Feb-10
9-Feb-10
10-Feb-10
11-Feb-10
12-Feb-10
13-Feb-10
15-Feb-10
16-Feb-10
17-Feb-10
18-Feb-10
19-Feb-10
20-Feb-10
22-Feb-10
23-Feb-10
24-Feb-10
25-Feb-10
26-Feb-10
27-Feb-10
1-Mar-10
2-Mar-10
3-Mar-10
4-Mar-10
5-Mar-10
6-Mar-10
8-Mar-10
9-Mar-10
10-Mar-10
11-Mar-10
12-Mar-10
13-Mar-10
15-Mar-10
16-Mar-10
17-Mar-10
18-Mar-10
19-Mar-10
1322.80
1325.40
1317.00
1310.60
1296.00
1291.80
1309.00
1295.80
1290.00
1295.20
1285.60
1278.40
1271.40
1279.20
1281.00
1285.00
1292.00
1285.80
1281.00
1286.00
1290.60
1284.00
1285.40
1282.80
1289.60
1289.60
1306.60
1304.20
1309.20
1320.40
1314.80
1312.80
1319.60
1286.60
1287.80
1275.00
1293.20
1290.80
1284.20
1284.20
1266.20
1263.80
1253.00
1260.40
1262.60
1241.60
1220.20
1224.80
1229.80
1234.00
1241.60
1260.00
1266.60
1271.80
1272.80
1279.40
1390.00
1400.00
1400.00
1400.00
1415.00
1407.50
1400.00
1407.50
1400.00
1425.00
1380.00
1400.00
1375.00
1385.00
1410.00
1385.00
1370.00
1385.00
1387.50
1385.00
1400.00
1370.00
1400.00
1390.00
1400.00
1400.00
1392.50
1385.00
1385.00
1387.50
1375.00
1400.00
1400.00
1385.00
1385.00
1370.00
1385.00
1362.50
1387.50
1387.50
1385.00
1385.00
1375.00
1375.00
1350.00
1345.00
1347.50
1320.00
1312.50
1305.00
1300.00
1315.00
1337.50
1300.00
1305.00
1300.00
7.19
7.19
7.18
7.18
7.17
7.16
7.18
7.17
7.16
7.17
7.16
7.15
7.15
7.15
7.16
7.16
7.16
7.16
7.16
7.16
7.16
7.16
7.16
7.16
7.16
7.16
7.18
7.17
7.18
7.19
7.18
7.18
7.19
7.16
7.16
7.15
7.16
7.16
7.16
7.16
7.14
7.14
7.13
7.14
7.14
7.12
7.11
7.11
7.11
7.12
7.12
7.14
7.14
7.15
7.15
7.15
7.24
7.24
7.24
7.24
7.25
7.25
7.24
7.25
7.24
7.26
7.23
7.24
7.23
7.23
7.25
7.23
7.22
7.23
7.24
7.23
7.24
7.22
7.24
7.24
7.24
7.24
7.24
7.23
7.23
7.24
7.23
7.24
7.24
7.23
7.23
7.22
7.23
7.22
7.24
7.24
7.23
7.23
7.23
7.23
7.21
7.20
7.21
7.19
7.18
7.17
7.17
7.18
7.20
7.17
7.17
7.17
Hands-on-Session
In this exercise, unit root test and the integration between spot and futures prices are
examined for the above dataset.
1. Collect the time series data. Save as a single sheet in Excel 2003 format for
compatibility purpose. Recent versions of EVIEWS like EVIEWS 7 (Enterprise
Edition) will take any excel extension.
2. Import the original data to EVIEWS just by dragging it to the software window or
copy and paste or menu driven
3.
Convert the original data to log values in excel and then import to EVIEWS or
import the original data to EVIEWS and then convert to log values with the following
command. Transform the SP into its natural log by Genr LSP = log(SP), and
similarly transform FP also into its natural log and save the newly generated log
variables.
4. Do the unit root test. The first step of testing cointegration is to test all the time
series variables for stationarity. Therefore, conduct the augmented Dickey Fuller
unit root test or Phillips Perron test on each of the series: LFP and LSP_Karnal,
and verify that each of these series is integrated of order one. Check the graphs too.
Hands-on-Session
In the unit root test of levels, always include intercept and also time trend if the data
has a trend. In the unit root test of first differences, include only the intercept
Note: View Unit Root Test Choose the Option OK
5. Now carry out the cointegration test. If two time series variables are nonstationary,
but cointegrated, at any point in time the two variables may drift apart, but there will
always be a tendency for them to retain a reasonable proximity to each other. There
may be more than one cointegrating relationship among cointegrated variables.
Johansen test provides estimates of all such cointegrating equations and provides a
test statistic for the number of cointegrating equations.1
1
It is a likelihood ratio test statistic that Johansen test presents along with the critical values.
Hands-on-Session
Note: Open the Log Transformed Data View Cointegration Test - OK.
A Johansen cointegration test window appears. Choose linear deterministic trend in
data, select Intercept (no trend) in CE and test VAR2 (Option No. 3). Specify the
appropriate number of lag intervals (1 1 in our case, i.e., 1 lag and 1 4 if the series is
quarterly)3. Finally, if there is any truly exogenous variable it has to be specified, other than
the intercept and the time trend, included in the model. In the present illustration there is no
such exogenous variable; and therefore, do not enter any name for exogenous series. The
Johansen test uses the VAR method, in which all cointegrated series are considered
endogenous. Click OK to get the cointegration test result.
In the very first table of this result, start from the first row and compare the likelihood
ratio (LR) value or trace statistic with the 5 percent critical value. If the value exceeds the
critical value, go down to the next row and compare the value with the critical value in that
row. Repeat this process until you reach the row in which the trace statistic is lower than
the critical value. Stop at that row; do not move down any further. The last column in this
row gives you the number of cointegrating equations for the integrated variables, and at the
bottom of this table, the conclusion of the test, as to how many cointegrating equations are
indicated, is stated.
Below the likelihood ratio test table, there would be a number of other tables. Only
look for the table(s) that has normalized cointegrating coefficients, in which the coefficient of
one of the two variables is normalized to one. There may be more than one table with
normalized coefficients (in case of more than two variables). If the above mentioned LR test
indicates one cointegrating equation, look at the first normalized coefficient table only. If
the test indicates two cointegrating equations, look at the second normalized coefficient
table, and so on. A normalized coefficient table presents the estimate of the model
(cointegrating equation) with all variables taken to the left hand side. Below each coefficient
estimate, the standard error is given within parentheses. The ratio of the coefficient to its
standard error is the t-statistic.
2
The test allows a choice among three options regarding the deterministic time trend of data: no trend, linear
trend and quadratic trend. Select the appropriate nature of trend.
3
The appropriate lag length may be decided through the AIC or SIC criterion.
Hands-on-Session
Note: Select the Variables - Open - as VAR. A new window on Vector Autoregression
appears. Under VAR specification, click on Vector Error Correction, type in lag intervals
1 1 to allow for one period lag length, check that sample period is correct (if necessary,
correct it), type in endogenous variables (which would be all the series in this illustration),
type in any exogenous variable (none in this case, leave it blank), choose the trend in the
cointegrating equation, as was done above for the Johansen test (VAR assumes linear
trend in data: intercept (no trend in CE), type in the number of CEs (1 in our case), and
click OK.4 The ECM estimates will appear immediately.
The first table presents the estimates of the cointegrating equation, and the second
table presents the rest of the ECM. The first row in the second table presents the estimates
of the speed of adjustment coefficient for each variable, their standard errors and the
t-statistics. Present the results and interpret the coefficients.
Hands-on-Session
Hands-on-Session
Hands-on-Session
Order
Note: * indicates significance at one per cent of MacKinnon (1996) one-sided p-values
Table 2. Estimated AIC and SIC value for optimum lag length
Criteria
Contract period
Value
AIC
SIC
10.09.09 to 19.03.10
Trace
statistic
Null
hypothesis
Log
likelihood
10.09.09 to 19.03.10
Note: ***, ** and * denote the rejection of null hypothesis at 1, 5 and 10 per cent level of significance
^ indicates the significance of correlation coefficient at 1 per cent level of probability (2 tailed)
(0.1704)
(0.0276)
Estimates
2 t 1
2 t 2
2t 3
Estimates of GARCH term (i)
t21
t22
t23
Log likelihood
i + i
Volatility level
Note: ** Significant at 1 per cent level of probability (z statistic) and * Significant at 5 per cent level of probability (z statistic)
Hands-on-Session
Suggested Readings
Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity, Journal
of Econometrics, 31: 307-327.
Dickey, D and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time
series regressions with unit roots, Journal of American Statistical Association, 74:
427-431.
Easwaran, S.R., and Ramasundaram, P., Whether the Commodity Futures in Agriculture
are Efficient in Price Discovery? - An Econometric Analysis. Agricultural Economics
Research Review, 2008, 21, 337-344.
Engle, R.F and Granger, C.W.J. (1987). Cointegration and error-correction:
Representation, estimation and testing, Econometrica, 55: 251-276.
Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the
variance of United Kingdom inflation, Econometrica, 50(4), 987-1007.
Fackler, P. (1996). Spatial Price Analysis: A Methodological Review, Mimeo.North
Carolina State University.
Garbade, K.D and Silber, W.L. (1982). Price movements and price discovery in future and
cash markets, Review of Economics and Statistics, 65: 289-297.
Garbade, K.D and Silber, W.L. (1983). Dominant satellite relationship between live cattle
cash and futures markets, The Journal of Futures Markets, 10(2): 123-136.
Goodwin, B.K and Schroeder, T.C. (1991). Cointegration tests and spatial price linkages in
regional cattle markets, American Journal of Agricultural Economics, 73: 452-64.
Granger, C. (1981). Some properties of time series data and their use in econometric
model specification, Journal of Econometrics, 16: 121-130.
Guida, T and Matringe, O. (2004). Application of GARCH models in forecasting the volatility
of Agricultural commodities, UNCTAD Publications.
Johansen, S. (1988). Statistical analysis of cointegration vectors, Journal of Economic
Dynamics and Control, 12: 231-254.
Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in
Gaussian vectors auto regression models, Econometrica, 59: 1551-80.
Johansen, S. (1994). The role of the constant and linear terms in cointegration analysis of
nonstationary variables, Econometric Reviews, 13: 205-229.
Johansen, S. (1995). Likelihood-based interference in cointegrated vector autoregressive
models. Oxford: Oxford University Press.
Sendhil, R., Amit Kar, Mathur, V.C. and Jha, G.K., Price discovery, transmission and
volatility: Evidence from agricultural commodity futures. Agricultural Economics
Research Review, 2013, 26 (1): 41-54.
Singh, N.P., Kumar, R., Singh, R.P and Jain, P.K. (2005). Is futures market mitigating price
risk: An exploration of wheat and maize market, Agricultural Economics Research
Review, 18: 35-46.