79
Rt 0
+ (Wt WQ- WDt) + a2 WDt + ^
which yields
Rt = a* + aj Wt + a* WDt + ^
where ag = (cq ajW0) and = (<*2 al) A test of significance of
(2 Oj) provides a direct test of asymmetry. Recall that measures
the reaction of Rt when Wt increases and measures the reaction of Rt
when Wt decreases. The significance of can be measured via the
estimate by writing
2 "
*
- a.
+ a,
2 2 "I
and var(c*2) var(a£ + oj) varCaj) + varCa^) + 2 Cov(alf a£),
The t-statistic would then be written as
(<*2 + op -0
/VAR (o2)
*
2 +
Var Oj + Var a2 + 2 Cov (a^, <*2)
whereof is the estimate of c^. If in the event that is found to be
insignificant, the test of significance on the coefficient (Xj reverts to
a symmetric test of retail price response to increases or decreases in
wholesale price. Expressions for pr, pw, and pP can now be written in
explicit form.
Data
The estimation of time series properties and analysis of causal
relationships of prices for shell-on, fresh-frozen, raw-headless shrimp
(hence forth referred to simply as raw-headless) at retail, wholesale,