Forecasting Using The Arima Model

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FORCASTING OF CASSAVA PRICES IN THE CENTRAL REGION OF GHANA USING

ARIMA MODEL
Article in Intercontinental Journal of Marketing Research Review · September 2014
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IMPACT FACTOR VALUE: 0.612 ISSN: 2321-0346- Online ISSN:2347-1670-Print
Volume 2, Issue 8 (August, 2014)
INTERCONTINENTAL JOURNAL OF MARKETING RESEARCH REVIEW

FORCASTING OF CASSAVA PRICES IN THE CENTRAL REGION OF GHANA
USING ARIMA MODEL
BANNOR RICHARD KWASI1 BENTIL JULIAN KOBINA2
1
PhD Scholar (Agribusiness), Institute of Agribusiness Management, SK Rajasthan Agricultural
University, Bikaner- India.
2
Municipal Women in Agriculture Officer, Municipal Agriculture Development Unit, Ministry of Food
and Agriculture, Swedru-Ghana
Peer Reviewed Journal of Inter-Continental Management Research Consortium
ABSTRACT
This study explored modelling and forecasting of wholesale cassava monthly prices in central region of
Ghana using the Autoregressive Integrated Moving Average (ARIMA) model. Coefficient of variation
was used to identify the volatility of cassava prices in the region. Regional price volatility is high as
40.12%. Augmented Dickey fuller test and Philips Perron test were used to test for unit root in price
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series. Autocorrelation (ACF) and Partial autocorrelation (PACF) functions were estimated to assist in
deciding the appropriate orders of the Autoregressive model of order p (AR) and Moving Average model
.r o
of order q (MA). The BIC test was conducted because we were considering several ARIMA models and
the model (0,1,1) which had the lowest BIC value of 4.78 with R square figure of 60% and the mean
absolute percentage error of 20.34% was chosen as the best fit model. Ljung box Q statistics showed no
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serial correlations across all models except one. The best identified model for the data( ARIMA(0,1,0)
http://www.icmrr.org
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was used for out of sample forecasting from January 2013 to December 2013.
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Key Words: ARIMA model, forecasting, Autocorrelation function, Partial Autocorrelation function,
Autoregressive model, Moving Average Model and Cassava.
INTRODUCTION w
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In Africa, cassava is cultivated in small farms and often in fields which are left aside as fallow or
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marginal areas. Sub-Saharan countries are the main producers of cassava all together accounting for 62
percent of world production (Asogwa et al 2013). Cassava is the chief source of dietary food energy for
the majority of the people living in the lowland tropics, and much of the sub-humid tropics of West and
Central Africa (Tsegia et al, 2002). Ghana is the 6th world producer of cassava in terms of value. Cassava
constitutes 22 percent of Ghana’s agricultural GDP and one of Ghana’s main staple crops with an annual
production above 10 million metric tonnes in the last decade. Ghana’s most popular ways of consuming
cassava are fufu from fresh roots, gari and flour as well as starch production for the processing industry.
Cassava is consumed in all of the ten administrative regions of the country (World Bank, 2010). It is
grown in all regions of Ghana but particularly abundant in Central, Eastern, Brong Ahafo, Volta, and
Ashanti regions. Production of cassava roots has increased by almost 40% from 2007 to 2011. It is largely
due to increase in average yield per hectare of 26% over that period from 12.76 to 16.17 tonnes per
hectare (MOFA 2010). These figures represent harvested quantities of cassava, it is estimated that an
additional 30% remain in the ground unharvested (Onumah et al., 2008) and cassava surpluses for 2006
were estimated at 3.3 million metric tons constituting about 30% of total domestic production due to
insufficient demand, lack of buyers, lack of price information or more likely weak marketing connections
and mostly marketing inefficiencies (Yisa, 2009).
30

Ghana’s Agricultural policies and programmes give particular attention to the production of the cassava
sector but little or no emphasis on marketing efficiency or increasing market information. Food and
Agriculture Sector Development Policy II(FASDEP II) of Ghana under the objective of increasing
competitiveness and enhancing integration into domestic and international markets underscores
inadequate market information as one of the critical causes of market inefficiencies. It further argued that,
to minimized market inefficiencies, the Ministry of Food and Agriculture staff especially Regional M&E
officers and district M&E officers are to be trained in market extension (MOFA 2007). Under this, these
officers were supposed to forecast the prices of various commodities in their districts to assist farmers in
making market decision. However, after years of implementation of FASDEP II, farmers are still not
getting forecast prices of commodities in the areas as no forecasting is done; consequently, promoting
market inefficiencies and wastage of cassava (Adetunji and Adesiyan, 2008). It is therefore not surprising,
small scale farmers often sell produce either in the nearby markets or the farm gate resulting in less of
share in consumer Ghana cedis.
That is to say, if agricultural growth is to be realized, Ghana has to ensure effective and efficient market
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information systems. Economic integration results in more efficient forecasting in trade, productivity and
overall production (Ismet et al., 1998). However fluctuations in different domestic agricultural produce
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are of grave concern to both consumers and policy makers. The high volatility of food prices in Ghana
especially Central region complicates budgetary planning of populace in the region notwithstanding the
condition of life in the region. Forecasting of staple agricultural commodity prices is of formidable
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challenge to farmers and consumers. Hence, using ARIMA model to forecast cassava prices in central
region of Ghana is very useful not only in policy formulation but also in promoting efficiency of cassava
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marketing in the region. Cassava price forecast in central region of Ghana will ensure cassava at cheaper
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price to consumer, proper budgeting of family income, and promoting greater share to producer (farmer)
of consumer price and will assist farmers in making informed marketing decisions even in production of
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agricultural commodities. An efficient farm marketing system due to market price information is an
important means for raising the income levels of farmers and for promoting the economic development of
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a country (Tamimi, 1999). In addition, this paper will contribute towards assisting Regional and district
M&E officers in forecasting of commodity prices. It will also add to the literature on forecasting of
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agricultural commodity prices in Ghana.
MTHODOLOGY
Sources of data
The secondary data used for this study were sourced from the District, Municipal and Metropolitan
Agricultural Development Units in the 5 districts, municipality and metropolitans (Awutu Senya East,
Awutu Senya, Ajumako Enyan Essiam, Cape Coast, Agona West) in the central region of Ghana. These
are monthly wholesale prices of cassava (91kg) per bag. The data covered from January 2011 to
December 2013, giving a total of 36 monthly data. Ajumako and Bawjiase markets are considered as rural
markets. Swedru market is considered as semi-urban market, Kasoa as Urban markets and Cape Coast as
Urban market. The monthly data was selected because of availability at the various market reports in the
districts. Weekly data had a lot of missing data which couldn’t have be used for the analysis because of its
statistical implications of misleading. The most recent data were selected to give current indications and
trends of cassava marketing in the region. The average of the monthly data from these five markets were
computed and used as the regional average market price for the forecasting.
31
Test for order of econometric integration (unit root test): A stationary series is one with a mean value
which will not vary with the sampling period. In contrast, a non-stationary series will exhibit a time
varying mean (Juselius K 2006). Before forecasting the price of cassava in the region, it is essential to test
for unit root and identify the order of stationarity, denoted as I(0) or I(1). This is necessary to avoid
spurious and misleading regression estimates. The framework of ADF methods is based on analysis of the
following model
(1)
Here, pt is the cassava price series being investigated for stationarity, ∆ is first difference operator, T is
time trend variable, μt represents zero- mean, serially uncorrelated, random disturbances, k is the lag
length; α,β, γ and δk are the coefficient vectors. Unit root tests were conducted on the β parameters to
determine whether or not each of the series is more closely identified as being I(1) or I(0) process. Test
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statistics is the t statistics for β. The test of the null hypothesis of equation (1) shows the existence of a
unit root when β=1 against alternative hypothesis of no unit root when β ≠ 1. The null hypothesis of non-
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stationarity is rejected when the absolute value of the test statistics is greater than the critical value. When
pt is non-stationary, it is then examined whether or not the first difference of pt is stationary (i.e. to test
∆pt − ∆pt −1 ≈ (1) by repeating the above procedure until the data were transformed to induce stationarity.
r
Philips-Perron (PP) test for a unit root in a time series was used in addition to Augmented Dickey
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Fuller(ADF). The Philips-Perron (PP) test is similar to the ADF test. PP test was conducted because the
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ADF test loses its power for sufficiently large values of “k”, the number of lags. It includes an automatic
correction to the Dickey-Fuller process for auto-correlated residuals. The regression is as follows
∆yt = bo + b1yt −1 + µt
w (2)
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Where yt is the cassava price series being investigated for stationarity, b0 and b1 are the coefficient vectors
and ut is serially correlated.
Box –Jenkins model identification

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The data is examined to check for the most appropriate class of ARIMA processes through selecting the
order of the consecutive and seasonal differencing required to make series stationary , as well as
specifying the order of the regular and seasonal ARIMA model necessary to adequately represents the
time series model . The Autocorrelation function (ACF) and the Partial Autocorrelation function (PACF)
are the most important elements of time series analysis and forecasting. The ACF measures the amount of
linear dependence between observations in a time series that are separated by a lag k. The PACF plot
helps to determine how many auto regressive terms are necessary to reveal one or more of the following
characteristics: time lags where high correlations appear, seasonality of the series, trend either in the mean
level or in the variance of the series. (Brockwell and Davis, 2002)
32

Model parameter estimation
The Box and Jenkins model includes autoregressive and moving average parameters as well as
differencing in the formulation of the model. The three types of parameters in the model are : the
autoregressive parameters (p), the number of differencing passes (d) and moving average parameters(q).
Box –Jenkins model are summarized as ARIMA (p,d,q) . For example , model described as ARIMA
(1,1,1) means that this contains 1 autoregressive (p) parameter and 1 moving average (q) parameter for
the times series data after it was differenced once to attain stationarity.
Oder of Autoregressive Process (p)
Specifically, for an AR (1) process, the autocorrelation function should have an exponentially decreasing
appearance. However, higher- order AR processes are often a mixture of exponentially decreasing and
damped sinusoidal components.
Order of Moving-Average process (q)
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The autocorrelation function of an MA series cut of sharply whereas as for AR series, the autocorrelation
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function exhibits an exponential decay. The autocorrelation function of a MA (q) process becomes zero at
lag q+1 and greater, therefore we examine the autocorrelation function to see where it becomes zero. We
do this by placing the 95% confidence interval for the autocorrelation function on the autocorrelation plot.
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In ARIMA model, the future value of a variable is assumed to be a linear function of several past
form:
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observations and random errors. That is, the underlying process that generate the time series has the
yt 0 1 yt 1 2 yt 2 ... p yt p t .i
1 t 1 2 t 2 ... 1 t 1 (3)
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where yt and εt are the actual value and random error at time period t, respectively; øi (i=1, 2,…, p) and θj
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(j=0, 1, 2,…, q) are model parameters. The integers p and q are often referred to as orders of the model.
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Random errors, εt , are assumed to be independently and identically distributed with a mean of zero and a
constant variance of σ2. Equation above entails several important special cases of the ARIMA family of
models. If q = 0, then (1) becomes an AR model of order p. When p = 0, the model reduces to an MA
model of order q. One central task of the ARIMA model building is to determine the appropriate model
order (p, q) (Zhang 2003).
Diagnostic checking for model appropriateness forecasting
In diagnose checking step, the residuals from the fitted model shall be examined against adequacy. This
was done by correlation analysis through the residual ACF plots and the goodness-of –fit test by means of
BIC and white noise using the Ljung-Box Q statistic. If the residuals are correlated, then the model should
be refined as in step one above. Otherwise, the autocorrelations are white noise and the model is adequate
to represent our time series. Hence, the model developed incorporates the basic statistical properties of the
time series data into its parameters. This three-step model building process is typically repeated several
times until a satisfactory model is finally selected. The final selected model can then be used for
forecasting (Zhang 2003)
33

RESULTS AND DISCUSSIONS
Table 1: Wholesale Cassava Price Volatility in selected regional markets
Market Coefficient of Variation (%)
Ajumako 73.57
Swedru 57.75
Bawjiase 45.94
Cape Coast 22.35
Kasoa 46.75
Regional 40.12
Source: Author’s computation
Variability is one of the major attributes that explain the characteristics of most price data. This attribute
has important implications for policy and the welfare of food consumers and a nation’s economy
(Mafimisebi et al 2014). The price volatility is explained by the coefficient of variance of the various
markets. 91kg wholesale cassava price was more volatile in the Ajumako market (73.75%) though the
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market can be considered as rural market. This can be attributed to the wholesale movement of cassava by
farmers to well known markets like Kasoa predicting good prices in those markets because of inadequate
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market information causing deficit in the rural market in some months. Again, Cassava contains about 70
percent of water and must be dehydrated to reduce the cost of transporting the product from the rural
areas/markets to urban cities/markets though perishable within 3-4days after harvesting. The bulky nature
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of it with accompanied huge transportation cost prevents farmers and traders from transferring produce
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from surplus areas to high demand areas at a time (Asuming-Brempong, 1992; Dadson et., 1994). The
market with the least volatility is Cape Coast market; it can be attributed to the preference of the food
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pattern of area the market is situated as their food consumption is not of cassava particularly fufu as
compared to the forest areas that predominantly rely on cassava for meals especially fufu. The average
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central regional cassava price considering the five major markets shows high volatility of 40.12%. This
high volatility can be curtailed by forecasting of cassava prices in the region to promote balance of supply
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and demand and marketing efficiency of cassava marketing.
34

Figure 1: Cassava price series at level Figure 2: Price series after first difference
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Source: Authors own based on computed central regional wholesale cassava price time series data from
2011-2013
.r o
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Figure 1 and 2 shows the time series cassava wholesale prices in the central region of Ghana. It could be
seen that, when the series were at level it was not stationary. However after first difference the series
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became stationary making it possible for further analysis.
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Table 1: Unit Root Testing
Variables .i
Price Level 1(0) Intercept with Trend
Market prices
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ADF Statistics PP Statistics
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Test Statistics 5% Critical Value Test Statistics 5% Critical Value
Regional cassava price -2.590 -3.560 -2.590 -3.560
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Ho: variables are not stationary or has unit root
H1: Variables are stationary or does not have unit root
NB: If the absolute value of ADF, PP, Test Statistics is less than their 5% critical value we accept
null hypothesis
The study first examined each variable time series for evidence of non-stationarity in order to be able use
the ARIMA model. At level 0, Regional cassava prices were not stationary. Augmented Dickey Fuller
(ADF) and Philips-Perron (PP) showed similar results as indicated above.
Table 3: Unit Root Testing at First Difference

Variables First Difference 1(1) Intercept with trend
Market prices ADF Statistics PP Statistics
Test Statistics 5% Critical Value Test Statistics 5% Critical Value
Regional cassava prices -1.812 -3.584 -8.965 -3.564

35
* Significant at five per cent level ** Significant at one per cent level
Ho: Variables are not stationary H1: Variables are stationary
NB: If the absolute value of ADF, PP, Test Statistics is less than their 5% critical value we accept
null hypothesis
The study went further to test the unit root in the time series at first difference. Phillips Perron test
showed no unit root in the series after first difference. However the augmented dickey fuller test showed
unit root in the price time series. This is might be due to ADF test losing its power for sufficiently large
values of “k”, the number of lags.
Figure 3: ACF at level Figure 4: ACF after first difference
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r
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2011-2013
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Autocorrelation Function at level is shown in Figure 3. It could be seen the spikes tails off; which means
the series are not stationary however after first difference the series become statistically insignificant
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showing stationarity. The ACF in addition assist the researcher on deciding the appropriate p,d,q values
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for the ARIMA modeling by considering the number of spikes outside the confidence bound and in our
case its 2.
Figure 5: PACF at level Figure 6: PACF after first difference
2011-2013
36

Figure 5 and 6 respectively shows the graph of partial correlogram of the series before and after first
diffference. PACF at level cuts off aftter the first spike in Figure 1 showing non stationarity however after
first difference series become statistically insignificant in figure 6. In addition to the ACF, the PACF is
done to decide the appropriate orders of the Autoregressive model of order p (AR) and Moving Average
model of order q (MA). Figure 6 shows PACF of AR (1) when φ < 0 Single spike at lag one (negative
side).
Table 4: Diagnostic Checking of ARIMA models

ARIMA Schwarz Bayesian Ljung Box Q R Maximum Absolute
Model Criterion(BIC) statistics square(%) Percentage Error (MAPE)

(p,d,q)
1,1,2 4.99 0.854 67.0 18.45
1,1,1 4.86** 0.890 66.8 18.57
0,1,2 4.86 0.883 66.8 18.66
2,1,2 5.10 0.798 67.6 18.17
0,1,0
2,1,1
4.79*
4.96
0.708
0.839
59.9
68.0*
r g 20.34
17.97
2,1,0
0,1,1
4.87***
5.10
0.917
0.798
66.7
.r
68.0 o 18.20
17.76*
*,**,***= first to third most preferred according to the test
Ljung box Q statistics; Ho: No autocorrelation
r
H1: There is autocorrelation
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NB; Reject null hypothesis when p value is less than 5%
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The table shows various diagnostic tests done to check the adequacy of the models for ARIMA
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forecasting. The BIC test was conducted, because we were considering several ARIMA models as
shown. The model (0,1,1) had the lowest BIC value of 4.78. In addition, the Q statistics was used to test
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for serial correlations in the models above. All the models shown above except 2,1,1 showed no
autocorrelation in the series; which means, the model is not fit for forecasting. R square is also used to
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test the goodness of fit of the model. However Maddala and Lahiri 2009 argued, time series usually have
strong trends and seasonal hence the R square is normally high making it difficult to judge the usefulness
of a model by just looking at the high R square.
Furthermore MAPE, which is calculated by dividing the difference between actual value and forecasted
value (known as the forecasting error) by the actual value, then resulting value is multiplied by 100 to
obtain the forecasting percentage error was tested to know how good our model is for forecasting the
price series. The forecasting method that minimized the MAPE within each model is considered the
preferred method for forecasting the cassava market price.
The mean absolute percentage error varies from 18.17% to 20.91% across all models. This shows the
mean uncertainty in each model’s predictions or forecasting. Whether these values represent an
acceptable amount of uncertainty depends on the degree of risk you are willing to accept. The high
percentage of MAPE could be attributed to the high volatility of the various markets prices used for the
forecasting. Furthermore, one of the limitations of ARIMA is requirement of a long time series which was
not readily available from the districts
37

Model Forecasting Results
The forecasting was done using the ARIMA model. The Bayesian information criterion (BIC) was used in
choosing the best fitted model for the cassava market price in the central region. The best fit models for
ARIMA was (0,1,0; 1,1,1 and 2,1,0).
Figure 7: ARIMA model (0,1,0)

2011-2013
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Figure 7 above shows the observed and forecasted trend of the best fit model ARIMA (0,1,0) of cassava
prices in central region of Ghana.
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Figure 8: ACF and PACF of ARIMA (0,1,0)
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2011-2013
38

The model verification is concerned with checking the residuals of the model to see if there is any
systematic pattern which still could be removed to improve the ARIMA model. This was done through
examination the autocorrelations and partial correlations of the residuals up to 16 lags. The figure again
shows that none of the autocorrelations are significantly different from zero at any reasonable level which
is an indication the appropriateness of the model for forecasting of central regional cassava prices in
Ghana.
Table 5: Sample forecast of monthly cassava prices in GH¢ using ARIMA (0, 1, 0)
Month Actual(91kg/ GH¢) Forecast(91kg/ GH¢)
Jan-2013 67 55.86
Feb-2013 75 67.46
Mar-2013 62 75.46
Apr-2013 56.2 62.46
May-2013 55.2 56.66
Jun-2013 44.2 55.66
Jul-2013
Aug-2013
48.6
68.2
r g 44.66
49.06
Sep-2013
Oct-2013
49.8
61.8
.r o 68.66
50.26
r
Nov-2013 35 62.26
Dec-2013 39.4 35.46
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The ARIMA model (0,1,0) was used for out of sample forecast of monthly wholesale cassava price in
central region of Ghana from January 2013 to December 2013 as shown above.
CONCLUSION AND RECOMMENDATIONS w

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The study has shown ARIMA model could be used successfully for modeling as well as forecasting of
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monthly wholesale cassava prices in the central region of Ghana. The model has demonstrated a good
performance in terms of explained variability and predicting power. The forecast values of cassava during
January 2013 to December 2013 are close to the actual values notwithstanding the high volatility
(40.12%) of prices. The analysis is of relevance to the cassava industry stakeholders especially farmers.
The study also can assist regional M&E officers and Marketing Information System officers in
forecasting not only cassava but prices of other commodities in their districts to promote market
efficiency and high farmers share in consumer price. Studies should be conducted further using the
ARIMAX model to take care of other factors which might be the cause of the high volatility of cassava
prices in the region. In addition further studies should be done to determine cassava market efficiency in
the region to complement the forecasting of prices.
REFERENCES
1. Adetunji MO, Adesiyan IO (2008). Economic Analysis of Plantain Marketing in Akinyele Local
Government Area in Oyo State, Nigeria. Int. J. Agric. Econ. Rural Dev., 1(1): 15-21.
2. Asogwa, B. C., Ezihe J.A.C., and Ater, P.I (2013). Socio-economic Analysis of Cassava
39

Marketing in Benue State, Nigeria. International Journal of Innovation and Applied Studies ISSN
2028-9324 Vol. 2 No. 4, pp. 384-391.
3. Asuming-Brempong, S. 1992. Economics of Cassava Production Under Structural Adjustment
Programme in Ghana. Proceedings, Fourth Triennial Symposium of the International Society for
Tropical Root Crops - Africa Branch held in Kinshasha, Zaire, 5–8 December 1989 pp 261–268.
4. Brockwell, P., and Davis, R (2002). Introduction to Time Series and Forecasting. Springer
International Edition
5. Ismet M, Barkley AP, Llewelyn RV (1998). Government Intervention and Market Integration in
Indonesian Rice Markets. Agric. Econ., 19: 283-295.
6. Juselius K (2006). The Co-integrated VAR Model: Methodology and Applications.

Oxford University Press.
7. Maddalla G.S., Kajal Lahiri (2009). Introduction to Econometrics. Fourth edtion, pp 481-506.
8. Mafimisebi T.E., Agunbiade B.O. and Mafimisebi O.E. 2014. Price Variability, Co-integration
9. and Exogeniety in the Market for Locally Produced Rice: A Case Study of Southwest Zone of
Nigeria. Retrieved from http://dx.doi.org/10.4172/jrr.1000118
10.
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MOFA. (2007). Food and Agriculture Development Policy (FASDEP II). Accra: Repiblic of
Ghana
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Value Chain Analysis for Ghana.
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Onumah, G.E., Dziedzoave, N.T., Abaka-Yankson, C., Martin, A., Quartey, Q.Q. (2008). CAVA
Yisa Akante Awoyinka (2009). Cassava Marketing: Option for Sustainable Agricultural
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Development in Nigeria. Ozean Journal of Applied Science 2 (2) 2009. ISSN 1943-2429
P.G. Zhang. “Time series forecasting using a hybrid ARIMA and neural network model”,
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Neurocomputing. Vol. 50, pp. 159-175, 2003
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FORCASTING OF CASSAVA PRICES IN THE CENTRAL REGION OF GHANA USING

Article in Intercontinental Journal of Marketing Research Review · September 2014

Richard Kwasi Bannor

The user has requested enhancement of the downloaded file.

INTERCONTINENTAL JOURNAL OF MARKETING RESEARCH REVIEW

BANNOR RICHARD KWASI1 BENTIL JULIAN KOBINA2

INTERCONTINENTAL JOURNAL OF MARKETING RESEARCH REVIEW

INTERCONTINENTAL JOURNAL OF MARKETING RESEARCH REVIEW

Box –Jenkins model identification

INTERCONTINENTAL JOURNAL OF MARKETING RESEARCH REVIEW

Oder of Autoregressive Process (p)

Order of Moving-Average process (q)

Diagnostic checking for model appropriateness forecasting

INTERCONTINENTAL JOURNAL OF MARKETING RESEARCH REVIEW

Source: Author’s computation

INTERCONTINENTAL JOURNAL OF MARKETING RESEARCH REVIEW

Table 3: Unit Root Testing at First Difference

Regional cassava prices -1.812 -3.584 -8.965 -3.564

Figure 3: ACF at level Figure 4: ACF after first difference

Figure 5: PACF at level Figure 6: PACF after first difference

INTERCONTINENTAL JOURNAL OF MARKETING RESEARCH REVIEW

Table 4: Diagnostic Checking of ARIMA models

Model Criterion(BIC) statistics square(%) Percentage Error (MAPE)

INTERCONTINENTAL JOURNAL OF MARKETING RESEARCH REVIEW

Figure 7: ARIMA model (0,1,0)

Figure 8: ACF and PACF of ARIMA (0,1,0)

INTERCONTINENTAL JOURNAL OF MARKETING RESEARCH REVIEW

Source: Author’s computation

CONCLUSION AND RECOMMENDATIONS w

INTERCONTINENTAL JOURNAL OF MARKETING RESEARCH REVIEW

6. Juselius K (2006). The Co-integrated VAR Model: Methodology and Applications.

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