Nonlinear adjustments in deviations from the law of one price for wholesale hog prices
应用门限自回归模型研究台湾生猪批发市场1987-2003年数据，发现一价定律偏离存在非线性均值回归，区域市场高度整合，半衰期仅4个月。
Abstract This article applies the Band‐Threshold Autoregression (Band‐TAR) model to investigate whether the law of one price (LOOP) holds in Taiwanese wholesale hog markets during the period from May 1987 through December 2003. We find evidence of a nonlinear mean reversion in deviations from the LOOP for relative hog prices. Our empirical study confirms the presence of thresholds and provides strong evidence in support of the view that the regional hog markets have been tightly integrated in Taiwan and that the wholesale hog market in Taiwan is an efficient market economy. Furthermore, the estimated half‐lives from the nonlinear generalized impulse response analysis are as short as four months.