Appended Note 1-4 VAR Analysis of Raw Material and Consumer Prices (For All Goods Excluding Fresh Food)
- Japanese version
- English version
1.Unit root test
Using the ADF test, the null hypothesis that a unit root at the 5% level exists can be rejected. As a result, both the raw material price index and the consumer price index (for all goods excluding fresh food) are assumed to move constantly, and the differences of both variables are used for VAR estimation.
2.VAR estimation
Using AIC with five lags, VARs of the differences between the raw material price index and the consumer price index (for all goods excluding fresh food) were estimated.
