Testing for the LOP under nonlinearity: an application to four major EU pork markets
开发了一种计量经济学方法，用于在非线性条件下检验一价定律的有效性，并区分其强版本和弱版本。该方法应用于1991年至2008年四个主要欧盟猪肉市场的周度价格数据，发现市场整合良好，偏离稳态价差呈非线性调整，所有市场对均支持一价定律，其中德国-西班牙对符合强版本。
Abstract This article develops an econometric procedure to test the validity of the Law of One Price (LOP) under nonlinearity and to distinguish between its strong and its weak version. The procedure is applied to four major EU pork markets using weekly prices from 1991 to 2008. The empirical results suggest that the markets are well integrated, with deviations from the steady‐state price differentials corrected nonlinearly. The LOP is valid for all market pairs and for the pair Germany–Spain it holds in its strong version.