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