97
Table 1. Haugh-Pierce (H-P) Causality Tests on Monthly Ex-vessel,
Wholesale, and Retail Prices for the 31-40 Size Class Using
ARIMA Filtered Data.
Series 1 Prewhitened Ex-vessel Prices
Series 2 = Prewhitened Wholesale Prices
Series 3 = Prewhitened Retail Prices
TEST I
(N =* 162)
TEST II
(N = 158)
a
Lag (k) in
Causal
Series j
Cross Correlations {r^Ck)}
(a) r2,1 (k> rl ,2^)
Cross Correlations {r^(
A A
(a) r3 2(k) (b) r2ji
0
.752*
.753*
.186*
.186*
1
.291*
-.051
.360*
.087
2
-.080
-.100
.092
-.005
3
.068
.058
.011
.011
4
-.026
.054
.175*
.045
5
-.036
-.015
-.028
-.051
6
-.076
-.003
.074
.155
7
.063
.043
-.072
-.026
8
.005
.050
.001
-.092
9
.045
.079
.091
-.043
10 .
.051
-.075
-.038
.005
11
-.115
-.048
-.015
-.089
12
-.057
-.027
.049
.050
TEST Is
(a) Null Hypothesis: ex-vessel does not cause wholesale price%
H-P xi2 21.16**
(b) Null Hypothesis: wholesale does not cause ex-vessel price,
H-P xf2 6.40***
TEST II:
(a) Null Hypothesis: wholesale does not cause retail price,
H-P x?2 30.18**
(b) Null Hypothesis: retail does not cause wholesale price,
H-P xi2 9.32***
N is the effective number of observations for cross correlation.
*Greater than two standard errors (s), where s N^^.
**Reject null hypothesis at the .05 level.
***Fail to reject null hypothesis at the .10 level.