Brunt, Liam; Cannon, Edmund - In: Explorations in Economic History 52 (2014) C, pp. 111-130
We show that vector error correction models encompass different approaches to analysing market integration; we illustrate our method using English weekly wheat prices, 1770–1820. Price variation decomposes into: (i) magnitude of price shocks; (ii) correlation of price shocks; (iii)...