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The Law of One Price for U.S. Softwood Lumber: A Multivariate Cointegration Test

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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." For. Sci. 40(4):595-600.
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Keywords: Causality test; Dickey-Fuller test; efficient arbitrage; long-term equilibrium; unit root

Document Type: Journal Article

Affiliations: Associate Professor of Economics, Ohio University

Publication date: 01 November 1994

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