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Table 1 Results of the vector autoregression models for consumer prices at a weekly frequency

From: Russian meat price transmission and policy interventions in 2014

Estimated parameter Dependent variable
CBeef,t CPoultry, t CPork, t
\(\mu_{k}^{C}\)
 – 0.03 (0.02) 0.01 (0.01) 0.04 (0.03)
\(\rho_{lk}^{C}\)
 EV CBeef,t−l CPoultry, t−l CPork, t−l
 l = 1 0.45 (0.05) *** 0.34 (0.06) *** 0.62 (0.06) ***
 l = 2 0.20 (0.06) ** 0.27 (0.06) *** 0.20 (0.07) **
 l = 3 0.05 (0.06) 0.02 (0.06)  − 0.16 (0.07) *
 l = 4 0.11 (0.05) * 0.19 (0.05) ***  − 0.02 (0.05)
\(\beta_{jm1}^{C}\)
 EV CPoultry,tj CBeef,tj CBeef,tj
 j = 1  − 0.04 (0.05) 0.10 (0.06)  − 0.01 (0.08)
 j = 2  − 0.05 (0.05)  − 0.10 (0.06) 0.07 (0.08)
 j = 3 0.11 (0.05) *  − 0.10 (0.06)  − 0.22 (0.08) **
 j = 4  − 0.1 (0.05) *  − 0.005 (0.05) 0.16 (0.07) *
\(\beta_{jm2}^{C}\)
 EV CPork,tj CPork,tj CPoultry,tj
 j = 1 0.01 (0.04) 0.02 (0.04)  − 0.04 (0.07)
 j = 2 0.11 (0.05) * 0.17 (0.05) *** 0.03 (0.07)
 j = 3  − 0.04 (0.05)  − 0.04 (0.05) 0.04 (0.07)
 j = 4  − 0.06 (0.04) 0.03 (0.04) 0.02 (0.07)
\(\alpha_{jk}^{C}\)
 EV PBeef,tj PPoultry,tj PPork,tj
 j = 1 0.01 (0.01)  − 0.001 (0.007) 0.02 (0.01) ***
 j = 2 0.01 (0.01) * 0.007 (0.007) 0.02 (0.01) ***
 j = 3 0.01 (0.01) 0.007 (0.007) 0.01 (0.007)
 j = 4 0.01 (0.01)  − 0.012 (0.007). 0.01 (0.007)
\(\theta_{jk}^{C}\)
 EV ∆(IBeef,tj × ERtj) ∆(IPoultry,tj × ERtj) ∆(IPork,tj × ERtj)
 j = 1 0.004 (0.004)  − 0.001 (0.003)  − 0.005 (0.004)
 j = 2 0.0005 (0.003) 0.001 (0.003) 0.000 (0.004)
 j = 3 0.01 (0.004) ** 0.004 (0.002) 0.01 (0.004) *
 j = 4 0.008 (0.004) * 0.003 (0.002) 0.01 (0.004) **
Portmanteau test (p value) 0.14 0.10 0
ARCH test (p value) 1 1 1
Normality test (p value) 0 0 0
Stability test Passed Passed Passed
Granger test °° 0 0 0
Number of observations 358 358 358
Adjusted R-squared 0.64 0.79 0.67
  1. EV stands for explanatory variable. Significance codes: ‘***’p ≤ 0.001, ‘**’p ≤ 0.01, ‘*’p ≤ 0.05, ‘.’p ≤ 0.1. Akaike information criterion is used to choose the number of lags in each model. Portmanteau test uses 40 lags, according to the default setting of Portmanteau test in Stata specification. ARCH test uses 24 lags. °° p value for H0: dependent variable does not Granger-cause explanatory variable