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Table 7. Haugh-Pierce (H-P) Causality Tests on Quarterly Ex-vessel,
Wholesale, and Retail Prices for the 21-25 Size Class Using
ARIMA Filtered Data.
Series
1 Prewhitened Ex-vessel Prices
Series
2 Prewhitened Wholesale Prices
Series
3 Prewhitened Retail Prices
TEST I
TEST II
(N 49)a
(N 49)a
A
Lag (k) in Cross Correlations {r^(k)}
Causal A A
Series j (a) r2>1(k) (b) r1>2(k)
A
Cross Correlations (r^Ck)}
(a) r3>2(k) (b) r2>3(k)
0
.934* .934*
.469* .469*
1
.152 -.044
.127 .208
2
-.186 -.032
-.066 -.049
3
-.084 -.049
-.152 -.133
4
-.060 -.104
.055 .011
5
-.066 -.166
-.096 -.238
6
-.124 -.003
-.114 .080
TEST I:
(a)
Null Hypothesis: ex-vessel does not
cause wholesale price,
H-P X6 4.31**
(b)
Null Hypothesis: wholesale does not
cause ex-vessel price,
H-P x| 2.16**
TEST II:
(a)
Null Hypothesis: wholesale does not
H-P X5 3.33**
cause retail price,
(b)
Null Hypothesis: retail does not cause wholesale price,
H-P X6 4.07**
N is the effective number of observations for cross correlation.
Greater than two standard errors (s), where s N-^^.
**Fail to reject null hypothesis at .10 level.