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Table 4 Asymmetric threshold VECM results for Gruyère producer—export prices

From: Vertical price transmission in Swiss dairy and cheese value chains

Item

p1 estimate (E_gru)

p2 estimate (P_gru)

(Intercept)

0.00

0.01

Δp1_l1.pos

− 0.03

− 0.26

Δp1_l1.neg

0.05

0.35*

Δp2_l1.pos

− 0.16*

− 0.35***

Δp2_l1.neg

0.04

− 0.31**

α+

− 0.17***

0.06

α−

0.03

0.12**

α+ = α− (H03 and H04)

16.26***

0.60

Cumulative Δp1+ = cumulative Δp1− (H05)

0.12

3.86*

Cumulative Δp2+ = cumulative Δp2− (H06)

1.28

0.02

Adj. R2

0.11

0.15

  1. Model specification based on previous threshold cointegration tests: MTAR model with 1 lag and threshold set to zero. Cointegrating vector: p2 − 1.13p1 + 2.41. To test for cumulative asymmetric effects, the effect on the respective other price matters (H05: column 2, H06: column 1). We changed the ECT signs from the original R output, based on package APT, to be consistent with the sign interpretation of the linear VECM output in Table 3 (for the R package documentation, see https://cran.r-project.org/package=apt)
  2. */**/*** represent 10/5/1% significance level