Blomquist, Johan
- Department of Economics, Swedish University of Agricultural Sciences
Abstract
This paper, in contrast to earlier studies, tests market integration using a methodology that accounts for the multiplicity problem inherent in testing several time series. This method minimises the risk of finding spurious evidence of market integration. We examine market integration among 12 fish species in Sweden by applying cointegration tests, which identify market integration for two separate clusters of species. Furthermore, we find that the Law of One Price holds for 6 of the 12 species considered.
Keywords
cointegration; familywise error rate (FWER); fish prices; law of one price; market integration; multiple inference; multiplicity problem and curse of dimensionality
Published in
Journal of Agricultural Economics
2015, volume: 66, number: 1, pages: 221-235
SLU Authors
UKÄ Subject classification
Economics
Publication identifier
- DOI: https://doi.org/10.1111/1477-9552.12084
Permanent link to this page (URI)
https://res.slu.se/id/publ/64657