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TESTING FOR PHILIPPINES RICE MARKET INTEGRATION: A MULTIPLE COINTEGRATION APPROACH
Author(s) -
Silvapulle Param,
Jayasuriya Sisira
Publication year - 1994
Publication title -
journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.157
H-Index - 61
eISSN - 1477-9552
pISSN - 0021-857X
DOI - 10.1111/j.1477-9552.1994.tb00411.x
Subject(s) - cointegration , market integration , economics , econometrics , johansen test , financial economics , error correction model , macroeconomics
In this paper we demonstrate the use of Johansen's multiple cointegration technique as a test for spatial market integration. We argue that this technique overcomes many of the limitations of previous methods for testing market integration. An application of this approach to the Philippines rice markets indicates that these markets are generally well integrated in the long‐run with Manila as the dominant market. However, there are other inter‐regional relationships which are important in the short term.