Abstract
Annual Danish timber prices 1954 through 1992 are modelled along with a corresponding Swedish price series in a vector autoregressive (VAR) system. The two sets of prices are found to be cointegrated which indicates economic integration of the two markets. Restrictions on the cointegration relationship are imposed to test for weak exogeneity of the Swedish price with respect to the long-run parameters. Departures from the estimated long-run equilibrium with the Swedish price are modelled by percentage changes in Gross National Product (GNP) and an index for the building activity (BA). The resulting model is used for forecasting the Danish timber price.
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Reprinted from Journal of Forest Economics 2 (3), 257-271.
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Riis, J. (1999). Forecasting Danish Timber Prices with an Error Correction Model. In: Abildtrup, J., Helles, F., Holten-Andersen, P., Larsen, J.F., Thorsen, B.J. (eds) Modern Time Series Analysis in Forest Products Markets. Forestry Sciences, vol 58. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-4772-9_10
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DOI: https://doi.org/10.1007/978-94-011-4772-9_10
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