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The rank tests for nonlinear cointegration: Examining the price convergence of household products in Canada
Author(s)
Date Issued
2019
Citation
Woo, K. Y., Lee, S. K., & Chan, A. (18 Jul 2019). The rank tests for nonlinear cointegration: Examining the price convergence of household products in Canada. International Conference: Theoretical and Applied Econometrics, Hong Kong Shue Yan University, Hong Kong.
Type
Conference Paper
Abstract
This article examines the price convergence of beverage products within Canada in order to assess the efficacy of intranational cross-border movements of foodstuffs. Since the cointegrating relationship between product prices may not be exact or linear, we adopt the rank tests for analysis which do not require prior knowledge and specification of the linear or nonlinear functional form. Our results validate the price convergence of almost all products within Canada. Furthermore, a subset of the cointegration relationships exhibits nonlinear longrun price comovements.
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