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Abstract
The recent testing approaches of the 'Law of One Price' which are based on co-integration analysis are modified by
incorporating the seasonal components of the agricultural price series into the testing procedure. Application of the modified
testing approach to the soft wheat market of five European Union member states produces mixed results as some of the
markets turn out to be integrated while in some cases a unified market cannot be assumed. These results differ in some cases
from those obtained by co-integration tests which ignore seasonal unit roots. © 1999 Elsevier Science B.V. All rights
reserved.