Examining Dynamically Changing Timber Market Linkages
Abstract
Market integration has been widely studied in the past to gain a better understanding of how different markets for the same good interact with one another. Traditional cointegration tests have been used to perform these analyses; however, these tests can only reveal the presence of stable or average long‐term relationships. To evaluate market dynamics over time, we modify a time‐varying smooth transition autoregressive (TV‐STAR) model to examine pine stumpage markets in the US South. The proposed model incorporates an economic indicator and allows us to evaluate market integration as it changes throughout a specified time period. The potential significance of this work is twofold. First, market integration can be observed as a function of an economic indicator, and secondly, the proposed model will allow us to draw inference about market integration at specific time points.
Reference
Harrison B. Hood; Jeffrey H. Dorfman. (2015). Examining Dynamically Changing Timber Market Linkages. American Journal of Agricultural Economics. https://doi.org/10.1093/ajae/aau151
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