Error correction regression results for the subsamples (processing-farm); dependent variable: Δln(processing(t))
| Independent variable | Normal period | COVID-19 period | Russian war against Ukraine period |
|---|---|---|---|
| (Intercept) | 0.001 (0.002) | 0.001 (0.001) | 0.008 (0.007) |
| ECT(t−1)+ | −0.418* (0.213) | −0.129 (0.080) | −0.264 (0.194) |
| ECT(t−1)− | −0.176 (0.247) | −0.119 (0.071) | −0.250 (0.189) |
| Number of lags | 1 | 2 | 1 |
| Test of asymmetry (H0: ECT+ = ECT−) | |||
| F-test stat | 0.397 | 0.016 | 0.002 |
| p-value | 0.531 | 0.899 | 0.968 |
| Independent variable | Normal period | COVID-19 period | Russian war against Ukraine period |
|---|---|---|---|
| (Intercept) | 0.001 (0.002) | 0.001 (0.001) | 0.008 (0.007) |
| ECT(t−1)+ | −0.418* (0.213) | −0.129 (0.080) | −0.264 (0.194) |
| ECT(t−1)− | −0.176 (0.247) | −0.119 (0.071) | −0.250 (0.189) |
| Number of lags | 1 | 2 | 1 |
| Test of asymmetry (H0: ECT+ = ECT−) | |||
| 0.397 | 0.016 | 0.002 | |
| 0.531 | 0.899 | 0.968 | |
Note(s): The number of lagged price variables was selected using the Akaike information criteria. Standard errors in parenthesis. Asterisks denote significance at 10% (*), 5% (**), and 1% (***) levels
Source(s): Authors’ own work
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