Modern Time Series Analysis in Forest Products Markets
Jens Abildtrup, F. Helles, Per Holten-Andersen, Jakob Fromholt Larsen, Bo Jellesmark Thorsen
Springer Science & Business Media, Dec 31, 1998 - Technology & Engineering - 221 pages
Since 1993 a major research programme, "Stochastic Decision Analysis in Forest Management" has been running at Department of Economics and Natural Resources, The Royal Veterinary and Agricultural University (KVL), Copenhagen, in collaboration with Institute of Mathematical Statistics, University of Copenhagen (KU). The research is funded by the two Universities; The Danish Agricultural and Veterinary Research Council; The Danish Research Academy; The National Forest and Nature Agency; and Danish Informatics Network in the Agricultural Sciepces (DINA). A first international workshop in the research programme was held 5 - 8 August, 1996 at Eldrupgaard, Denmark, within the frameworkofacollaborationagreementbetween University of California at Berkeley (UCB) and the Danish Universities, and funded by The Danish Research Academy and the L0venholm Foundation. Having participated in the workshop, Professor Peter Berck (UCB) suggested that the papers be published along with selected papers in the same scientific field, i.e. mainly cointegration analysis of time series in forestry. The editors express their sincere appreciations to the many persons who have contributed to the realisation of the present book: participants in the research programme and the workshop, in particular Professors S0ren Johansen (KU) and Peter Berck (UCB); authors outside the programme/workshop; reviewers of the papers not previously published, in particuler Associate Professors Niels Haldrup (Aarhus University) and Henrik Hansen (KVL); and finally Mrs Mette Riis and Lizzie Rohde who did the tedious work of giving the papers a uniform style. Copenhagen, October 1998.
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Agricultural asset returns coefficients cointegration analysis cointegration rank cointegration relations cointegration space cointegration vectors common trends companion matrix correlation countries Danish demand Denmark deterministic dynamics Econometric eigenvalues empirical equation equilibrium error correction estimated expected export price Finland Finnish prices Finnish sawnwood forecasting forest asset Forest Economics forest land Forest Science Forestry Granger causality growth harvesting decision implies inventory Johansen Journal Juselius lag length likelihood ratio test long-run matrix multivariate cointegration non-stationary Norway spruce null hypothesis number of cointegration optimal option value paper parameters period price series pulp price pulpwood random walk regression rejected relationship reservation price restrictions root tests rotation roundwood roundwood market sawlogs sawnwood imports short-run spatial integration stationary stochastic trends structure stumpage price Sweden Swedish prices systematic risk Table term test statistic Thorsen timber market timber prices trade unit root unit root tests unrestricted variables vector autoregressive weak exogeneity zero
Page 22 - Vector Autoregression and Causality: A Theoretical Overview and Simulation Study, Econometric Reviews, 13, 259-85.