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breakdown.do
eng_description.csv
readme.md
sa19992006.csv
sa20062011.csv
sa20112014.csv
uroots.prg

readme.md

Details

Code and sourcefile from GÓES, CARLOS; MATHESON, TROY. (2017) Domestic market integration and the law of one price in Brazil. Applied Economics Letters (Print), v. 24, n. 5 p. 284-288.

Abstract: This article presents the first assessment of domestic market integration in Brazil using the law of one price. The law of one price is tested using two panel unit root methodologies and a unique data set comprising price indices for 51 products across 11 metro-areas. We find that the law holds for most tradable products and, not surprisingly, nontradable products are found to be less likely to satisfy the law of one price. While these findings are consistent with evidence found for other countries, price convergence occurs very slowly in Brazil, suggesting relatively limited domestic market integration.

KEYWORDS: Law of one price, panel cointegration, domestic market integration JEL CLASSIFICATION: E31, F15, O54

Published version: http://www.tandfonline.com/doi/abs/10.1080/13504851.2016.1184220#.V5FFiPmANBc

BibTeX citation

@article{doi:10.1080/13504851.2016.1184220, author = {Carlos Góes and Troy Matheson}, title = {Domestic market integration and the law of one price in Brazil}, journal = {Applied Economics Letters}, volume = {24}, number = {5}, pages = {284-288}, year = {2017}, doi = {10.1080/13504851.2016.1184220}, URL = { http://dx.doi.org/10.1080/13504851.2016.1184220 }, eprint = { http://dx.doi.org/10.1080/13504851.2016.1184220 } }

Data and codes

  1. breakdown.do (STATA file) consolidates all the CSV files into a single panel, creates CPI indices for all cities and products, and calculates time-effect treated series for panel unit root analysis
  2. uroots.prg (Eviews program) runs two panel unit roots tests (LLC and IPS) and individual ADF equations for each city-product pair.
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