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Analyzing Dark Northern Spring Wheat: DNS and Cointegration Insights

This study explores the Dark Northern Spring (DNS) wheat market, focusing on the 14% grade and the implications of freight rates on pricing dynamics. Various models, including DNSJ and DNSPJ, are evaluated for unit roots and cointegration, revealing key insights into the lack of cointegration in certain variants while identifying conditions of probable stationarity. The analysis utilizes tables to illustrate lag effects in export prices and freight rates, providing a deeper understanding of market behavior and pricing mechanisms.

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Analyzing Dark Northern Spring Wheat: DNS and Cointegration Insights

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  1. Some Pitfalls … II

  2. #2 Dark Northern Spring, DNS, 14% • Table 4: Without Freight Rates • DNSJ, DNSPJ • DNSJ-DNSPJ • lnDNSJ, lnDNSPJ • Unit roots, no cointegration • lnDNSJ-lnDNSPJ • Unit root ?

  3. #2 Dark Northern Spring, DNS, 14% • Table 4: Without Freight Rates • DNSJ, DNSGJ • DNSJ-DNSGJ • lnDNSJ, lnDNSGJ • Unit roots, no cointegration • lnDNSJ-lnDNSGJ • Unit root ?

  4. #2 Dark Northern Spring, 14% • Table 5: No lag in Export Price, One Month lag in Freight Rate • lnDNSJ, lnDNSPJT • Unit roots, no cointegration • LnDNSJ-lnDNSPJT • Unit root?

  5. #2 Dark Northern Spring, 14% • Table 5: No lag in Export Price, One Month lag in Freight Rate • lnDNSJ, lnDNSGJT • Unit roots, cointegration • LnDNSJ-lnDNSGJT • Unit root: probably stationary

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