The impact of production shocks on maize markets in Ethiopia: implications for regional trade and food security

Agricultural and Food Economics

Table 10 Vector error correction model results for Juba and Addis Ababa market pairs

Coefficients	Cointegrating vector and adjustment coefficient
\( {P}_{t-1}^{ETH} \)	1.139**
ECT_t-1	− 0.236*
Half-life	2.57
Short-run parameters
\( {\Delta P}_{t-1}^{JUBA} \)	− 0.209
\( {\Delta P}_{t-2}^{JUBA} \)	0.073
\( {\Delta P}_{t-1}^{ETH} \)	− 0.618
\( {\Delta P}_{t-2}^{ETH} \)	− 1.007
Shift13	0.076*
Model specification tests
LM (3) test	0.71
Adj. portmanteau test	0.39
Normality test	438***
MARCH-LM test	54.77**
ARCH LM test	0.36

Half-life is computed as h = [ln(0.5)/( ln(1 + α)], where α is the error correction term (ECT_t-1) and interpreted in months; adj. portmanteau test denotes adjusted portmanteau test which has more powerful small sample properties than the standard portmanteau test (see Lütkepohl and Krätzig 2004, 127); MARCH-LM test denotes multivariate ARCH test; ***, ** reject the null hypothesis at 1 and 5% significance levels, respectively