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A multivariate cointegration test of the law of one price for Canadian softwood lumber markets

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  • Nanang, David M.
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    File URL: http://www.sciencedirect.com/science/article/B6VT4-42H1RC3-D/2/5c3a224c3f28798394fe3b9a8ca28e7b
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    Bibliographic Info

    Article provided by Elsevier in its journal Forest Policy and Economics.

    Volume (Year): 1 (2000)
    Issue (Month): 3-4 (December)
    Pages: 347-355

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    Handle: RePEc:eee:forpol:v:1:y:2000:i:3-4:p:347-355

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    Web page: http://www.elsevier.com/locate/forpol

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    1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    2. Rakhal Sarker, 1993. "A Maximum Likelihood Cointegration Analysis of Canadian Lumber Exports," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 41(1), pages 97-110, 03.
    3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    4. Delpachitra, S. B. & St Hill, R. L., 1994. "The law of one price: a test based on prices for selected inputs in New Zealand agriculture," Agricultural Economics, Blackwell, vol. 10(3), pages 297-305, May.
    5. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    7. Janaki R.R. Alavalapati & Wiktor L. Adamowicz & Martin K. Luckert, 1997. "A Cointegration Analysis of Canadian Wood Pulp Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(3), pages 975-986.
    8. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    9. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
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    Cited by:
    1. Aruga, Kentaka & Managi, Shunsuke, 2011. "Testing the international linkage in the platinum-group metal futures markets," Resources Policy, Elsevier, vol. 36(4), pages 339-345.
    2. Song, Nianfu & Chang, Sun Joseph & Aguilar, Francisco X., 2011. "U.S. softwood lumber demand and supply estimation using cointegration in dynamic equations," Journal of Forest Economics, Elsevier, vol. 17(1), pages 19-33, January.
    3. Mehrotra, Shiv N. & Kant, Shashi, 2009. "Use of composite forest commodity price indices for cointegration analysis," Journal of Forest Economics, Elsevier, vol. 15(4), pages 237-260, December.
    4. Kainulainen, Tuomo & Toppinen, Anne, 2006. "Testing integration in main European paper markets under floating and fixed exchange rates," Forest Policy and Economics, Elsevier, vol. 9(4), pages 372-379, December.

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