Measuring market integration in the presence of transaction costs?a threshold vector error correction approach
针对价格数据忽视交易成本的问题，本文提出一种可检验阈值显著性的双阈值向量误差修正模型，并用其估计欧洲猪肉市场的整合程度。
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. Results from threshold models that are based on two thresholds provide results that are economically more intuitive than those obtained from one threshold models. However there is no adequate econometric test for threshold significance in a two-threshold model available so far; 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. This model is used to estimate market integration on the European pig market.