1. 1 Some Pitfalls in Testing … Japan Imports of Wheat US Pacific and Gulf Export Ports

2. 2 Data

3. 3 Contents Table Three Table Three DNS Pacific: p. 4 DNS Pacific: p. 4 DNS Gulf: p. 25 DNS Gulf: p. 25 HW Gulf: P. 80 HW Gulf: P. 80 WW Pacific: p.123 WW Pacific: p.123 Table Four Table Four DNS Pacific: p.46 DNS Pacific: p.46 DNS Gulf: p.63 DNS Gulf: p.63 HW Gulf: p.100 HW Gulf: p.100 WW Pacific: p. 143 WW Pacific: p. 143

4. 4 Table Three: Pacific DNS Log of Ratio of Import Price to Pacific Export Price (lag 1) Plus Pacific Freight (lag2) Log of Ratio of Import Price to Pacific Export Price (lag 1) Plus Pacific Freight (lag2) Stationary Stationary No unit root No unit root AR (1) Model: root 0.54, normal residual AR (1) Model: root 0.54, normal residual Log of Import Price and Log of Pacific Import Price (lag 1) Plus Pacific Freight (lag 2) Log of Import Price and Log of Pacific Import Price (lag 1) Plus Pacific Freight (lag 2) Cointegrated Cointegrated VEC: one lag VEC: one lag Rank: 1, 1, 1, 1, 2 Rank: 1, 1, 1, 1, 2 Data: no trend; Integrating Equation: Intercept, no trend, rank one, 1% Data: no trend; Integrating Equation: Intercept, no trend, rank one, 1%

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18. 18 Error Correction VAR, One Lag

19. 19 VEC Cont.

20. 20 Johansen Summary Table

21. 21 Johansen Test: No Data Trend, Intercept

22. 22 Impulse Response Functions Order: lndnsj, lndnspjt

23. 23 Impulse Response Functions Order: lndnspjt, lndnsj

24. 24 Variance Decomposition Order: lndnsj, lndnspjt

25. 25 Table Three: Gulf DNS Log of Ratio of Import Price to Gulf Export Price (lag 1) Plus Gulf Freight (lag2) Log of Ratio of Import Price to Gulf Export Price (lag 1) Plus Gulf Freight (lag2) Stationary Stationary No unit root No unit root AR (1) Model: root 0.63, normal residual AR (1) Model: root 0.63, normal residual Log of Import Price and Log of Gulf Import Price (lag 1) Plus Gulf Freight (lag 2) Log of Import Price and Log of Gulf Import Price (lag 1) Plus Gulf Freight (lag 2) Cointegrated Cointegrated VEC: One lag VEC: One lag Rank: 0, 0, 1, 0, 2 Rank: 0, 0, 1, 0, 2 Linear trend in Data; Cointegration equation:Intercept, no trend, rank one, 5% Linear trend in Data; Cointegration equation:Intercept, no trend, rank one, 5%

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39. 39 Johansen Test Summary

40. 40 Error Correction Model

41. 41 VEC Cont.

42. 42 Johansen Test

43. 43 Impulse Response Functions Order: lndnsj, lndnsgjt

44. 44 Impulse Response Functions Order: lndnsgjt, lndnsj

45. 45 Variance Decomposition Order: lndnsj, lndnsgjt

46. 46 Table Four: Pacific DNS Log of Ratio of Import Price to Pacific Export Price (lag 1), No Pacific Freight Log of Ratio of Import Price to Pacific Export Price (lag 1), No Pacific Freight Stationary Stationary Unit root ? Unit root ? ARONE Model, root = 0.73, normal residual ARONE Model, root = 0.73, normal residual Log of Import Price and Log of Pacific Export Price (lag 1), No Pacific Freight Log of Import Price and Log of Pacific Export Price (lag 1), No Pacific Freight Not cointegrated Not cointegrated VEC 1 lag VEC 1 lag Rank: 0, 0, 0, 0, 0 Rank: 0, 0, 0, 0, 0

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62. 62 Johansen Summary Table

63. 63 Table Four: Gulf DNS Log of Ratio of Import Price to Gulf Export Price (lag 1), No Gulf Freight Log of Ratio of Import Price to Gulf Export Price (lag 1), No Gulf Freight Stationary Stationary Unit root ? Unit root ? ARONE Model, root = 0.74, normal residual ARONE Model, root = 0.74, normal residual Log of Import Price and Log of Gulf Import Price (lag 1), No Gulf Freight Log of Import Price and Log of Gulf Import Price (lag 1), No Gulf Freight Not cointegrated Not cointegrated VEC lag 1 VEC lag 1 Rank: 0, 0, 0, 0, 2 Rank: 0, 0, 0, 0, 2

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79. 79 Johansen Summary Table

80. 80 Table Three: Gulf Hard Winter Log of Ratio of Import Price to Gulf Export Price (lag 1) Plus Gulf Freight (lag2) Log of Ratio of Import Price to Gulf Export Price (lag 1) Plus Gulf Freight (lag2) Stationary Stationary No unit root No unit root ARONE (1) Model: root 0.39, normal residual ARONE (1) Model: root 0.39, normal residual Log of Import Price and Log of Pacific Import Price (lag 1) Plus Pacific Freight (lag 2) Log of Import Price and Log of Pacific Import Price (lag 1) Plus Pacific Freight (lag 2) Cointegrated Cointegrated VEC one lag VEC one lag Rank: 1, 1, 1, 1, 1 Rank: 1, 1, 1, 1, 1 No Intercept, no trend, rank one No Intercept, no trend, rank one

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93. 93 Johansen Summary Table

94. 94 Johansen Test

95. 95 Error Correction Model Determinant Residual Covariance: 1.12 E-06 Log Likelihood: 280.8788 Akaike Information Criteria: -7.7965 Schwarz Criteria: -7.9356

96. 96 VEC Cont.

97. 97 Impulse Response Functions Order: lnhwj, lnhwgjt

98. 98 Impulse Response Functions Order: lnhwgjt, lnhwj

99. 99 Variance Decomposition Order: lnhwj, lnhwgjt

100. 100 Table Four: Gulf HW Log of Ratio of Import Price to Gulf Export Price (lag 1), No Freight Log of Ratio of Import Price to Gulf Export Price (lag 1), No Freight Stationary Stationary No unit root ? No unit root ? ARONE Model, root 0.64, normal residual ARONE Model, root 0.64, normal residual Log of Import Price and Log of Gulf Export Price (lag 1), No Freight Log of Import Price and Log of Gulf Export Price (lag 1), No Freight Probably Not Cointegrated Probably Not Cointegrated Rank zero except for VAR with linear trend in data, intercept and no trend in cointegrating equation, rank one, significant at 5% level Rank zero except for VAR with linear trend in data, intercept and no trend in cointegrating equation, rank one, significant at 5% level

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116. 116 Johansen Summary Table

117. 117 Error Correction Model

118. 118 VEC Cont.

119. 119 Johansen Test

120. 120 Impulse Response Functions Order: lnhwj, lnhwgj

121. 121 Impulse Response Functions Order: lnhwgj, lnhwj

122. 122 Variance Decomposition Order: lnhwj, lnhwgj

123. 123 Table Three: Pacific WW Log of Ratio of Import Price to Pacific Export Price (lag 1) Plus Pacific Freight (lag2) Log of Ratio of Import Price to Pacific Export Price (lag 1) Plus Pacific Freight (lag2) Stationary Stationary No unit root No unit root ARONE Model, root 0.49, normal residual ARONE Model, root 0.49, normal residual Log of Import Price and Log of Pacific Import Price (lag 1) Plus Pacific Freight (lag 2) Log of Import Price and Log of Pacific Import Price (lag 1) Plus Pacific Freight (lag 2) Cointegrated Cointegrated VEC: one lag VEC: one lag Rank: 1, 1, 1,1, 2 Rank: 1, 1, 1,1, 2 Data: No Trend; integrating equation: Intercept, no trend, rank one 1% Data: No Trend; integrating equation: Intercept, no trend, rank one 1%

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137. 137 Johansen Summary Table

138. 138 Error Correction Model

139. 139 Johansen Test

140. 140 Impulse Response Functions Ordering: lnwwj lnwwpjt

141. 141 Impulse Response Functions Ordering: lnwwpjt lnwwj

142. 142 Variance Decomposition Ordering: lnwwj lnwwpjt

143. 143 Table Four: Pacific WW Log of Ratio of Import Price to Pacific Export Price (lag 1), No Freight Log of Ratio of Import Price to Pacific Export Price (lag 1), No Freight Stationary Stationary No unit root ? No unit root ? ARONE Model, root 0.73, normal residual ARONE Model, root 0.73, normal residual Log of Import Price and Log of Pacific Export Price (lag 1), No Freight Log of Import Price and Log of Pacific Export Price (lag 1), No Freight Probably Not Cointegrated Probably Not Cointegrated Rank zero except for VAR with linear trend in data, intercept and no trend in cointegrating equation, rank one, significant at 5% level Rank zero except for VAR with linear trend in data, intercept and no trend in cointegrating equation, rank one, significant at 5% level

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156. 156 Johansen Summary Table

157. 157 Table 3: log ratio of Import Price/ [Export Price (lag 1) + Freight (lag 2)] DNSGJTDNSPJTWWPJTHWGJT AR(1)0.630.540.490.39 MA(1)0000 Model Res normalnormalnormalnormal VEC 1 lag 5 Mod. rank 0,0,1,0,2 1,1,1,1,2 1,1,1,1,1 Rank 1 5% 1% (3/4) 1% all

158. 158 Table 4: log ratio of Import Price/ [Export Price (lag 1)] DNSGJDNSPJWWPJHWGJ AR(1)0.740.710.730.64 MA(1)0000 Model Res normalnormalnormalnormal VEC 1 lag 5 Mod. rank 0,0,0,0,20,0,0,0,00,0,0,0,0 0,0,1,0,2 Rank 1 5%

159. 159 Table 4: log ratio of Import Price/ [Export Price (lag 1) ] No Freight AR(1)MA(1) Model Res. Johansen DNSGJ0.740Normal rank 0* DNSPJ0.710Normal rank 0 WWPJ0.720Normal HWGJ0.640Normal rank 0* (5%)# Rank 2 for model: quadratic trend in data, cointegrating equation: intercept, trend #Rank 1 for model: linear trend in data, cointegrating equation: intercept, no trend

160. 160 Table 5: log ratio of Import Price/ [Export Price ( no lag ) + Freight (lag1)] AR(1)MA(j) model res. Johansen DNSGJT0.76 -.68 (4) Normal Rank 1* (5%) DNSPJT0.92 0 arch 1 kurtotic Rank 0 WWPJT0.730Normal Rank 1* (1%) HWGJT0.53 -.33 (6) kurtotic Rank 1* (5%) * Rank 2 for model: quadratic trend in data, cointegrating equation: intercept, trend

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