Measuring market integration in the presence of transaction costs–a threshold vector error correction approach
针对仅用价格数据分析市场整合忽视交易成本的问题，本文开发了一种可检验阈值显著性的受限双阈值模型，并用欧洲生猪市场数据估计了市场整合程度。
Abstract Applied econometric analyses of market integration based on price data alone have been criticised because they neglect the role of transaction costs. To meet this objection, threshold vector error correction models are used. Threshold models can account for the effects of transaction costs in price transmission without directly relying upon information about these costs, which are often unavailable. It is argued that threshold models that are based on two thresholds provide results that are economically more intuitive than those obtained from one‐threshold models. However, to this point no adequate econometric test is available for threshold significance in a two‐threshold model; such tests are only available for the one‐threshold model. In this paper a restricted two‐threshold model is developed in which the significance of the thresholds can be tested. This model is therefore amenable to economic interpretation and statistical inference. The model is used to estimate market integration in the European pig market.