Testing for the Law of One Price and Identifying Price‐Leading Markets: An Application to Corn Markets in Benin
提出一种数据驱动方法，用于检验一价定律作为长期均衡条件，并识别空间分散的商品市场中哪个市场报价为参考价格。以贝宁六个玉米市场为例，发现一价定律长期成立，且两个农村市场报价为参考价格。
A data‐determined method is proposed to test for the law of one price as a long‐run equilibrium condition and to identify which markets in a network of spatially dispersed commodity markets quote the reference price. The method consists of supplementing Johansen's FIML cointegration procedure with a permanent‐transitory decomposition and rules of inference in linear time‐series models with unit roots. As an example, we apply our method to prices of six corn markets in Benin. We find that the law of one price holds in the long‐run. It appears that two rural markets quote the reference price: their prices adjust fastest towards the permanent change induced by the common stochastic trend.