A Note on Tests for Market Integration in a Multivariate Non‐Stationary Framework

Ana Sanjuán López and Jose M. Gil

Journal of Agricultural Economics, 2001, vol. 52, issue 2, 113-121

Abstract: In this note relationships among agricultural prices are studied to offer a guide to the degree of market integration. Unlike many previous studies, which examine market integration using pairs of prices, we conduct testing in a multivariate framework to exploit the information embodied in the indirect price linkages. We focus on the formulation of hypotheses that identify the cointegration space using time series data on European pork and lamb markets. Results indicate that the national markets for pork are more closely integrated than those for lamb. Extraneous market information is exploited in an attempt to identify the cause of this segmentation in the European lamb market, although results do not support any of the hypotheses proposed.

Date: 2001
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