TESTING MARKET EQUILIBRIUM: IS COINTEGRATION INFORMATIVE?

Kevin McNew and Paul Fackler (paul_fackler@ncsu.edu)

Journal of Agricultural and Resource Economics, 1997, vol. 22, issue 2, 17

Abstract: Cointegration methods are increasingly used to test for market efficiency and integration. The economic rationale for these tests, however, is generally unclear. Using a simple spatial equilibrium model to simulate equilibrium price behavior, it is shown that prices in a well-integrated, efficient market need not be cointegrated. Furthermore, the number of cointegrating relationships among prices is not a good indicator of the degree to which a market is integrated.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (72)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:jlaare:30853

DOI: 10.22004/ag.econ.30853

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