caa a22 4500 388054832 CHVBK 20180307125103.0 cr unu---uuuuu 161130e199812 xx s 000 0 eng 10.1017/S1074070800008270 doi S1074070800008270 pii (NATIONALLICENCE)cambridge-10.1017/S1074070800008270 Fractional Cointegration and the False Rejection of the Law of One Price in International Commodity Markets [Elektronische Daten] [Samarendu Mohanty, E. Wesley F. Peterson, Darnell B. Smith] This study examines the Law of One Price (LOP) in international commodity markets using fractional cointegration analysis. For proper evaluation of the LOP, fractional cointegration analysis seems to be appropriate because of its flexibility in capturing a wider range of mean reversion behavior than standard cointegration analysis. Out of nine pairs of price series examined, fractional cointegration supports the existence of the LOP in eight cases, as compared to three cases using standard cointegration procedures. Overall, these results suggest that there is a long-run tendency for the LOP to hold for commodity prices. Copyright © Southern Agricultural Economics Association 1998 fractional cointegration nationallicence international commodity markets nationallicence Law of One Price nationallicence Mohanty Samarendu Food and Agricultural Policy Research Institute, Iowa State University aut Peterson E. Wesley F. Department of Agricultural Economics, University of Nebraska-Lincoln aut Smith Darnell B. Food and Agricultural Policy Research Institute, Iowa State University aut Journal of Agricultural and Applied Economics Cambridge University Press 30/2(1998-12), 267-276 1074-0708 30:2<267 1998 30 AAE https://doi.org/10.1017/S1074070800008270 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1017/S1074070800008270 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Mohanty Samarendu Food and Agricultural Policy Research Institute, Iowa State University aut NATIONALLICENCE 700 1- Peterson E. Wesley F. Department of Agricultural Economics, University of Nebraska-Lincoln aut NATIONALLICENCE 700 1- Smith Darnell B. Food and Agricultural Policy Research Institute, Iowa State University aut NATIONALLICENCE 773 0- Journal of Agricultural and Applied Economics Cambridge University Press 30/2(1998-12), 267-276 1074-0708 30:2<267 1998 30 AAE CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge