A Note on Tests for Market Integration in a Multivariate Non‐Stationary Framework
在多变量框架下检验欧洲猪肉和羊肉市场的整合程度，发现猪肉市场比羊肉市场更紧密整合，并尝试利用外部市场信息解释羊肉市场的分割原因。
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.