Regional integration of nineteenth century U.S. egg markets

Multivariate assymetric threshold vector error correction models are applied to a historical analysis of the regional integration of U.S. markets for eggs at the turn of the nineteenth century. Two general approaches to the selection of the thresholds are considered. The fast criterion ignores the cross equation correlation while the latter explicitly accounts for it. Our results suggest that threshold behaviour characterises spatial price linkages between the markets analysed.