Friday, October 19
Fri, Oct 19, 11:45 AM - 1:15 PM
Caprice 3-4
Caprice 3-4
Speed Session 3
Modeling the Changes in Minimum Gasoline Price Using Threshold Vector Error Correction (304749)
*Rasitha R Jayasekare, Butler UniversityRyan Gill, University of Louisville
Kiseop Lee, Purdue University
Keith McKnight, University of Louisville
Keywords: threshold cointegration, error correction, gasoline and oil prices, data imputation
The behavior of daily minimum gasoline price and the crude oil price is studied by a Threshold Vector Error Correction (TVEC) model. A mutli-regime vector error correction model with a single cointegrating vector and a threshold effect in the error correction term is used to predict the changes in the minimum gasoline price and the cruid oil price. Imputation of missing data is also handled by the TVEC model. The models are tested with daily gasoline prices and crude oil prices from Western Australia.