Cointegration and market integration: An application to the Indonesian rice market
- 1 January 1994
- journal article
- research article
- Published by Taylor & Francis in The Journal of Development Studies
- Vol. 30 (2) , 303-334
- https://doi.org/10.1080/00220389408422317
Abstract
This article suggests improvements in the use of regression analysis to measure spatial market integration. The procedure pioneered by Ravallion is still widespread but is valid only under certain conditions of exogeneity. The alternative offered here is an error‐correction mechanism which makes it possible to test for exogeneity as well as indicating the direction and strength of causality in price formation between markets. The method is illustrated with data on rice prices in different parts of the Indonesian market. The results confirm, among other things, that supply sources are more important than demand sources in driving prices.Keywords
This publication has 13 references indexed in Scilit:
- THE CHANGING RELATIONSHIP BETWEEN PRODUCTIVITY, WAGES AND UNEMPLOYMENT IN THE UKOxford Bulletin of Economics and Statistics, 1993
- MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEYOxford Bulletin of Economics and Statistics, 1990
- Integration of Spatial MarketsAmerican Journal of Agricultural Economics, 1990
- Statistical analysis of cointegration vectorsJournal of Economic Dynamics and Control, 1988
- Forecasting and testing in co-integrated systemsJournal of Econometrics, 1987
- Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica, 1987
- Market Integration: An Application to International Trade in CottonAmerican Journal of Agricultural Economics, 1984
- ExogeneityEconometrica, 1983
- Distribution of the Estimators for Autoregressive Time Series With a Unit RootJournal of the American Statistical Association, 1979
- Investigating Causal Relations by Econometric Models and Cross-spectral MethodsEconometrica, 1969