Multiple Inference and Market Integration: An Application to Swedish Fish Markets
(2015) In Journal of Agricultural Economics 66(1). p.221-235- Abstract
- This paper, in contrast to earlier studies, tests market integration using a methodology that accounts for the multiplicity problem inherent in testing several time series. This method minimises the risk of finding spurious evidence of market integration. We examine market integration among 12 fish species in Sweden by applying cointegration tests, which identify market integration for two separate clusters of species. Furthermore, we find that the Law of One Price holds for 6 of the 12 species considered.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/5069144
- author
- Blomquist, Johan LU
- organization
- publishing date
- 2015
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- cointegration, familywise error rate (FWER), fish prices, law of one, price, market integration, multiple inference, multiplicity problem and, curse of dimensionality
- in
- Journal of Agricultural Economics
- volume
- 66
- issue
- 1
- pages
- 221 - 235
- publisher
- Wiley-Blackwell
- external identifiers
-
- wos:000347706900011
- scopus:85027956664
- ISSN
- 1477-9552
- DOI
- 10.1111/1477-9552.12084
- language
- English
- LU publication?
- yes
- id
- 3709c7b6-c62c-4900-8d7b-efba5b62c60f (old id 5069144)
- date added to LUP
- 2016-04-01 10:49:09
- date last changed
- 2022-01-26 02:49:36
@article{3709c7b6-c62c-4900-8d7b-efba5b62c60f, abstract = {{This paper, in contrast to earlier studies, tests market integration using a methodology that accounts for the multiplicity problem inherent in testing several time series. This method minimises the risk of finding spurious evidence of market integration. We examine market integration among 12 fish species in Sweden by applying cointegration tests, which identify market integration for two separate clusters of species. Furthermore, we find that the Law of One Price holds for 6 of the 12 species considered.}}, author = {{Blomquist, Johan}}, issn = {{1477-9552}}, keywords = {{cointegration; familywise error rate (FWER); fish prices; law of one; price; market integration; multiple inference; multiplicity problem and; curse of dimensionality}}, language = {{eng}}, number = {{1}}, pages = {{221--235}}, publisher = {{Wiley-Blackwell}}, series = {{Journal of Agricultural Economics}}, title = {{Multiple Inference and Market Integration: An Application to Swedish Fish Markets}}, url = {{http://dx.doi.org/10.1111/1477-9552.12084}}, doi = {{10.1111/1477-9552.12084}}, volume = {{66}}, year = {{2015}}, }