Some Pitfalls … II
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1 Some Pitfalls … II
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Some Pitfalls … II. #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 ?. #2 Dark Northern Spring, DNS, 14%. Table 4: Without Freight Rates DNSJ, DNSGJ DNSJ-DNSGJ - PowerPoint PPT Presentation
Transcript of Some Pitfalls … II
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Some Pitfalls … II
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#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 ?
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Trace of Import Price and Pacific Export Price, No Freight, DNS, $/Metric Ton
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300
Date
$/M
etr
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DNSJ
DNSPJ
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Import Price Minus Pacific Export Price, No Freight, DNS, $/Metric Ton
-10
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Date
$/M
etr
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Trace of Logarithms of Import Price and Pacific Export Price, No Freight, DNS
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ln
ln DNSJ
ln DNSPJ
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Log of Ratio of Import Price to the Pacific Export Price, No Freight, DNS
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Date
ln R
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0.00 0.05 0.10 0.15 0.20 0.25
Series: LNRATIOPJSample 1975:10 1981:10Observations 73
Mean 0.111239Median 0.108041Maximum 0.275182Minimum -0.022728Std. Dev. 0.058990Skewness 0.184024Kurtosis 3.067675
Jarque-Bera 0.425954Probability 0.808175
Histogram: Log of Ratio of Import Price to the Pacific Export Price, DNS
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Series: ResidualsSample 1975:11 1981:10Observations 72
Mean 1.16E-14Median -0.002773Maximum 0.106137Minimum -0.102300Std. Dev. 0.042146Skewness 0.184677Kurtosis 3.423791
Jarque-Bera 0.948062Probability 0.622488
Histogram: Residuals fromARONE Model of lnRatioPJ
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#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 ?
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Trace of Import Price and Gulf Export Price, No Freight, DNS, $/Metric Ton
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Date
$/M
etr
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DNSJ
DNSGJ
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Import Price Minus Gulf Export Price, No Freight, DNS, $/Metric Ton
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Date
$/M
etr
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Trace: Logarithms of Import Price and Gulf Export Price, No Freight, DNS
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ln
lnDNSJ
lnDNSGJ
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Log of Ratio of Import Price to the Gulf Export Price, No Freight, DNS
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Date
ln R
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0.00 0.05 0.10 0.15 0.20 0.25 0.30
Series: LNRATIOGJSample 1975:10 1981:10Observations 73
Mean 0.136561Median 0.129912Maximum 0.321584Minimum 0.007117Std. Dev. 0.073388Skewness 0.323244Kurtosis 2.507223
Jarque-Bera 2.009860Probability 0.366070
Histogram of Logarithm of Import Price to the Gulf Export Price, No Freight, DNS
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Series: ResidualsSample 1975:11 1981:10Observations 72
Mean 8.57E-15Median -0.000727Maximum 0.135106Minimum -0.112489Std. Dev. 0.049464Skewness 0.486734Kurtosis 3.297090
Jarque-Bera 3.107708Probability 0.211431
Histogram: Residuals from ARONE Model Of lnRatioGJ
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#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?
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Trace: Logarithms of Import Price and Pacific Export Price (without lag) Plus Freight, DNS
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ln
lnDNSJ
lnDNSPJT
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Logarithm of Ratio of Import Price to Pacific Export Price (no lag) Plus Freight, DNS
-0.1
-0.05
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0.1
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Date
ln R
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Series: LNRATIODNSPJTSample 1975:10 1981:10Observations 73
Mean -0.000453Median -0.001594Maximum 0.120964Minimum -0.078069Std. Dev. 0.028281Skewness 0.860076Kurtosis 6.489911
Jarque-Bera 46.04596Probability 0.000000
Histogram of Ratio of Import Price to Pacific Export Price (no lag) Plus Freight, DNS
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Series: ResidualsSample 1975:11 1981:10Observations 72
Mean -0.000562Median -0.001277Maximum 0.103419Minimum -0.059646Std. Dev. 0.022633Skewness 1.274742Kurtosis 8.479630
Jarque-Bera 109.5786Probability 0.000000
Histogram: Residuals from ARMA(1, 1) Model of Ratio of Import Price to Pacific Export Price (no lag), DNS
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#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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Trace of Logarithms of Import Price and Gulf Export Price (no lag) Plus Freight
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ln
lndnsj
lndnsgjt
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Log of Ratio of Import Price to the Gulf Export Price (no lag) Plus Freight
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Series: LNRATIODNSGJTSample 1975:10 1981:10Observations 73
Mean 0.001185Median 0.004822Maximum 0.096561Minimum -0.125032Std. Dev. 0.051973Skewness -0.300149Kurtosis 2.484211
Jarque-Bera 1.905289Probability 0.385720
Histogram: Log of Ratio of Import Price to Gulf Export Price (no lag) Plus Freight, DNS
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