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

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Abstract:

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.

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: 1994-11-01

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  • Forest Science is a peer-reviewed journal publishing fundamental and applied research that explores all aspects of natural and social sciences as they apply to the function and management of the forested ecosystems of the world. Topics include silviculture, forest management, biometrics, economics, entomology & pathology, fire & fuels management, forest ecology, genetics & tree improvement, geospatial technologies, harvesting & utilization, landscape ecology, operations research, forest policy, physiology, recreation, social sciences, soils & hydrology, and wildlife management.
    Forest Science is published bimonthly in February, April, June, August, October, and December.

    2015 Impact Factor: 1.702
    Ranking: 16 of 66 in forestry

    Average time from submission to first decision: 62.5 days*
    June 1, 2016 to Feb. 28, 2017

    Also published by SAF:
    Journal of Forestry
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