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

• Blomquist, Johan

  • Department of Economics, Swedish University of Agricultural Sciences
    

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