Long memory in milk prices: evidence from EU-15

Christos Floros

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper we test for the presence of fractional integration, or long memory, in the monthly milk prices using ARFIMA(p,d,q) models. We consider data from 15 EU countries covering the period January 2001 to May 2008. The results suggest that twelve series show strong evidence of long memory. This indicates that shocks to the milk prices persist over a long period of time. We conclude that there is a high degree of predictability in the milk prices of EU-15.
Original languageEnglish
Pages (from-to)10-20
Number of pages11
JournalInternational Journal of Applied Economics
Volume6
Issue number2
Publication statusPublished - 2009

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