Testing for food market integration revisited
通过构建空间价格均衡模型和蒙特卡洛实验，评估了四种常用市场整合检验方法的统计性能，发现它们都存在统计缺陷，对研究发展中国家的食品市场整合问题具有警示意义。
This article considers the statistical performance of four commonly used econometric tests for market integration: the Law of One Price, the Ravallion Model, cointegration and Granger causality. A spatial price equilibrium (SPE) model, that is subject to both production shocks and general price inflation, and mimics many of the key characteristics of integrated food markets, is constructed. The model is used to generate food price time series of lengths that are typical of the short sample sizes available in most developing countries, for both instantaneously integrated and independent markets. A series of Monte Carlo experiments on these artificial food price time series are performed, which show that all four of the conventional tests for market integration are statistically flawed.