THE LAW OF ONE PRICE FOR US SOFTWOOD LUMBER - A MULTIVARIATE COINTEGRATION TEST

被引：0
|
作者：
JUNG, CH
DOROODIAN, K
机构：
来源：
FOREST SCIENCE | 1994年 / 40卷 / 04期
关键词：
CAUSALITY TEST; UNIT ROOT; LONG-TERM EQUILIBRIUM; EFFICIENT ARBITRAGE; DICKEY-FULLER TEST;
D O I：
暂无
中图分类号：
S7 [林业];
学科分类号：
0829 ; 0907 ;
摘要：
The multivariate cointegration testing procedures are used to determine if there exists a single long-run equilibrium price for four softwood lumber regional markets in the United States during the period 1950-1985. The Dickey-Fuller tests reveal strong evidence for the presence of a unit root in levels of the univariate price series, but the absence of a unit root in the first-differenced series for all four U.S. regional markets. The Johansen test results support the hypothesis commonly known as the ''law of one price.''
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页码：595 / 600
页数：6
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