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Multiple Time Series Modeling Using the SAS VARMAX Procedure by Anders Milhoj

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Chapter 11: Causality Tests for the Danish Egg Market

Introduction

The Danish Egg Market

Formulation of the VARMA Model for the Egg Market Data

Estimation Results

Model Fit

Causality Tests of the Total Market Series

Granger Causality Tests in the VARMAX Procedure

Causality Tests of the Production Series

Causality Tests That Use Extended Information Sets

Estimation of a Final Causality Model

Fit of the Final Model

Conclusion

Introduction

In this chapter, some historical time series for the Danish egg market are analyzed. The analysis is intended to study the interdependence between the price of eggs and the production of eggs. Economic theory says that increasing prices lead to increasing production, and increasing production leads to decreasing ...

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