Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks
This paper examines the efficient market hypothesis for the wine market using a novel unit root test while accounting for sharp shifts and smooth breaks in the monthly data. We find evidence of structural shifts and nonlinearity in the wine indices. Contrary to the results from conventional linear u...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Firenze University Press
2017-12-01
|
| Series: | Wine Economics and Policy |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2212977417300108 |