García Hiernaux, Alfredo and Guerrero, David (2011) Convergence and Cointegration. [ Documentos de trabajo del Instituto Complutense de Análisis Económico; nº 22, 2011, ] (Unpublished)

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Official URL: http://eprints.ucm.es/12874/
Abstract
This paper provides a new, united, and flexible framework to measure and characterize convergence in prices. We formally define this notion and propose a model to represent a wide range of transition paths that converge to a common steadystate. Our framework enables the econometric measurement of such transitional behaviors and the development of testing procedures. Speci¯cally, we derive a statistical test to determine whether convergence exists and, if so, which type: as catchingup or steadystate. The application of this methodology to historic wheat prices results in a novel explanation of the convergence processes experienced during the 19th century.
Item Type:  Working Paper or Technical Report 

Additional Information:  JEL: C22, C32, N70, F15 
Uncontrolled Keywords:  Price convergence, Cointegration, Law of one price. 
Subjects:  Social sciences > Economics > Macroeconomics 
Series Name:  Documentos de trabajo del Instituto Complutense de Análisis Económico 
Volume:  2011 
Number:  22 
ID Code:  12874 
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Deposited On:  16 Jun 2011 11:36 
Last Modified:  06 Feb 2014 09:35 
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