A Cointegration Rank Test of Market Linkages with an Application to the U.S. Natural Gas Industry

W. Walls

University of California Transportation Center, Working Papers from University of California Transportation Center

Abstract: This research applies recently developed cointegration techniques to the measurement of market linkages when the data are nonstationary. Likelihood based tests for cointegration are applied to data from natural gas spot markets. The results indicate that natural gas spot markets at dispersed locations in the pipeline network are strongly connected. Most of the market pairs examined in the gas pipeline network satisfy a more stringent condition for perfect market integration.

Keywords: Market Linkages; Unit Roots and Cointegration; Social and Behavioral Sciences (search for similar items in EconPapers)
Date: 1993-05-01
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Citations: View citations in EconPapers (6)

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