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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