Copula-based nonlinear modeling of the law of one price for lumber products

Download
(PDF; 1.0 MB)
Cite
Feedback

Abstract

This paper proposes an alternative and potentially novel approach to analyzing the law of one price in a nonlinear fashion. Copula-based models that consider the joint distribution of prices separated by space are developed and applied to weekly prices for lumber products. The copulas capture nonlinearities that arise in the extremes of the joint distributions of price differentials and suggest faster equilibrating adjustments when deviations from parity are extreme.

  • Citation: Goodwin, Barry K.; Holt, Matthew T.; Önel, Gülcan; Prestemon, Jeffrey P. 2018. Copula-based nonlinear modeling of the law of one price for lumber products. Empirical Economics. 54(3): 1237-1265. 29 p.   https://doi.org/10.1007/s00181-017-1235-4
  • Keywords: Law of one price Copulas Nonlinear time series models
  • Posted Date: June 14, 2018
  • Modified Date: July 3, 2018

    • Print Publications Are No Longer Available

    In an ongoing effort to be fiscally responsible, the Southern Research Station (SRS) will no longer produce and distribute hard copies of our publications. Many SRS publications are available at cost via the Government Printing Office (GPO). Electronic versions of publications may be downloaded, printed, and distributed.

    Publication Notes

    • This article was written and prepared by U.S. Government employees on official time, and is therefore in the public domain.
    • Our online publications are scanned and captured using Adobe Acrobat. During the capture process some typographical errors may occur. Please contact the SRS webmaster if you notice any errors which make this publication unusable.
    • To view this article, download the latest version of Adobe Acrobat Reader.