Review of Industrial Organization Volume 4, Number 2

PRICE CORRELATION AND GRANGER CAUSALITY

TESTS FOR MARKET DEFINITION
by
Phillip A. Cartwright
David R. Kamerschen. and
Mei-Ying Huang ~

ABSTRACT

The static price correlation test for determining the relevant

product and geographic market is critically examined and then
extended to (arguably) localized markets for products such as
cement, gravel, sand, crushed stone, concrete, and asphalt
products. The empirical results lead to the conclusion that the
price correlation test is as generally applicable for testing for local
markets as it is for testing for citywide or larger markets. The
Granger causality model is used alternatively to test market
definition empirically. The results suggest that the Granger
causality test may be a useful supplement to the price correlation
test in delineating markets.

1. Introduction

A market encompasses the significant actual and potential

demanders and suppliers in a geographic area that constrain the
price and nonprice strategy of commodities highly substitutable
in consumption and/or production. Because real world product
and geographic markets are multidimensional and complex, any
empirically operational definition is arbitrary and involves blurred
or shaded edges with close substitutes on the inside and varying
degrees of partial substitutes on the outside. 1
The recent work of some economists has opined that
antitrust investigators should use relative price movements
exclusively in market definition. 2 Perhaps the most sophisticated
statement of this position is in Stigler and Sherwin (hereinafter
S&S) who quantify the sensitivity of prices in one geographic area

*Director of Econometric Analysis and Senior Economist,

Nielsen Marketing Research; Distinguished Professor, Department
of Economics, University of Georgia; and Associate Professor,
Department of Economics, National Chung-Hsing University
respectively.
80 - Price Correlation

or of one product to prices in another geographic area or of

another product with the statistical index of a correlation
coefficient. As a result, the discussion in this paper is couched in
terms of their paper, but our comments apply to at least ~?ortions
of the other proponents of the solitary price test school. To be
sure, while the criticism is directed for convenience to the efforts
of S&S, industrial economists, lawyers, judges, antitrust
consultants, antitrust enforcement officials, etc. would do well to
read S&S's controversial but incisive study before reaching a
conclusion on market determination. S&S do offer a feasible
approach for delineating a market. While some of the earlier
approaches, such as that by Elzinga & Hogarty (1973), Elzinga
(1981), and Shrieves (1978) have also been generally operational,
S&S do utilize data--viz, relative price m o v e m e n t s - - t h a t normally
are available in varying degrees of refinement to investigators.
The task in this paper is three-fold. First, and less
importantly, some of the theoretical shortcomings of the S&S
article are discussed. Second, assuming arguendo the S&S
approach is correct, the model that they applied to nonlocal
markets is extended to investigate commodities and geographic
areas that because of high transportation costs, .involve (arguably)
local markets. Third, an extension of the static price correlation
test involving the dynamic Granger causality procedure is
discussed, and an actual application of it is made to the S&S
nonlocal market data as a check on and extension of their findings
(e.g., Granger, 1969; Granger and Newbold, 1986; and Sims,
1972).

2. S&S's Static Price Correlation Approach

S&S test for the relevant product and a geographic market by the
similarity of price movements. They claim that not only is the
parallel price movements test equally applicable to competitive
and monopolistic markets, but that it also has modest data
requirements. On the latter point, they aver that it is sufficient
simply to make the price tests without recourse to transportation
costs, which are usually a minor or a stable source of price
differences. Thus, they feel their price tests for empirical market
definitions are both manageable in their data requirements and
sensible in terms of industrial economic theory. For S&S two
products (or geographic areas) are in the same market (i.e., are
close substitutes in consumption, production, or both) when their
relative prices maintain a stable ratio. 4
The basic testing technique used by S&S is that the greater
the (positive) price correlations, the greater the likelihood that the
two products or the two geographic areas are in the same market.
While S&S recognize that no unique c u t o f f or threshold value or
 Cartwrigh~ - 81

criterion exists for their price test, their applications produce

quite high correlations (e.g., simple coefficients of 0.9 or higher
are common). However, because of high serial correlations, S&S
test for markets using first differences of log prices with most of
their price series being essentially random walks in the first
differences of prices. ~ S&S used their price correlation
methodology to establish geographic markets for: (1) silver
(futures), (2) flour, and (3) capital (new mortgage interest rates).
However, they found low price correlations geographically for (1)
industrial nurses and (2) female accounting clerks. S&S also tested
for two product groupings. They observed a fairly high
correlation between the prices of flour made from hard winter
wheat and soft wheat, but the price movements of durum flour
were rather more independent of the prices of other flours. S&S
price correlations also indicated that regular, unleaded, and diesel
oil were in the same product market, but the price of residual oil
was only weakly associated with the prices of these other refined
products.

3. Theoretical Limitations

Even proponents recognize qualifications to the price correlation

approach that defines a market as an area where the price of a
product tends to uniformity, allowing for transportation costs.
For instance, S&S (pp. 556-557) recognize that prices in two
markets will seldom differ exactly by the transportation costs for
the following reasons: 6 there is no unique transportation cost;
stochastic shocks to demand and supply will create, in the absence
of perfect foresight, divergent price movements in part of a
market; there are conditions under which price equality in one
commodity can be attained by free movement of another
commodity. In addition to these disturbing factors, S&S (pp.
558-559; 572-573) recognize that there are almost always other
sources of differences in price movements at different places in
one market. For example, even in highly efficient markets price
differences and hence imperfect correlation of prices can be
caused by differences in quality mix for a variable quality good;
differences in the lot size of transactions; differences in the time
of the price observations; errors in reporting and/or recording
prices; common influences (such as inflation or deflation of input
prices); and coincidences.
While it is not unreasonable to put considerable reliance
on the level and movement of prices in defining a market, it
makes sense to seek corroborating evidence, such as the nonprice
factors enumerated in the U.S. Department of Justice Merger
Guidelines (1984) in making a final assessment. Moreover, in
 82 - Price Correlation

doing any pricing study, it is important to make sure that the

investigator has calibrated prices for a significant number of
transactions for buyers and sellers of a reasonably fungible
product with due allowance for transportation costs. In particular,
the problems of common influences and coincidences--especially
those generated by common costs and inflation- -need
considerable attention. For instance, since the price of wheat is
an important general determinant of the level and movement of
flour prices, correlation coefficients of flour prices would be
biased upward. The same would be true for any nominal prices
in a period of significant general inflation or with a common
input (such as fuel prices for Georgia Power and Electricite de
France). This is why some, such as Tirole, (1988, p. 13) regard a
high price correlation to be at best a necessary but not a sufficient
condition for belonging to the same market.
Another potential concern given relatively short shrift by
price correlation believers is the distinction between the level of
prices and the trend of prices. Obviously, two price series that
differ by a constant value are perfectly correlated with one
another. Yet one might not, on other grounds, wish to put the
items into the same market. For instance, if basic Cadillac and
Chevrolet automobiles were always separated by a constant
amount of $10,000, would it be sensible to include them in the
same market because the price movements were perfectly
correlated?
U n a d j u s t e d price series for products where advertising is
important and not uniform do not provide an effective test for
market definition. Similarly, different prices in different
geographic areas may reflect difficult to assess differentials in
cost of service. If firms can shift quickly and economically from
one geographic area to another in search of profits, they should
be in the same market regardless of any past price differentials.

4. Granger Dynamic Causality Approach

There are additional ways to test time series data than the
technique suggested bs~ S&S. One such approach is the dynamic
Granger causality test. The notion of causality has been adopted
by several scholars as a more promising, or at least as a
supplementary, approach. (See e.g., Bessler and Brandt, 1982;
Geweke 1979, 1984; Geweke, Meese & Dent, 1983; Howell, 1984;
Huang, 1 9 8 7 ; P r i c e , 1979; Slade, 1986; and Uri, Howell, and
Rifkin, 1985).
The Granger causality, test has been proposed as an
alternative approach to the S&S price correlation test for several
reasons. First, the price correlation test provides only static
information on price behavior ignoring the dynamics in price
 Cartwr~ght - 83

determination and market efficiency. 9 Second, the price

correlation can not validate any causal relationships. Third, the
determination of the price correlation level that is "high" enough
to define a market is arbitrary. Fourth, the testing thesis of the
price correlation test--the higher the correlation, the higher the
probability that the two areas (or products) belong to the same
market--is not a sufficient condition to test for markets. 1°
The Granger causality test requires the analyst to specify
the lead and lag structure between two variables. The dynamic
behavior of price movements between two variables is manifested
by the specification of the leading and laggin~ relationships.
According to Granger's definition of c a u s a l i t y , " a variable X
causes another variable Y, with respect to a given universe or
information set that includes X and Y. If present, Y can be better
predicted by using past values of X than by not doing so--all
other information contained in the past of the universe being used
in either case. If the addition o f present X to the information set
leads to superior forecasts of present Y, causality is then said to
be "instantaneous." Feedback occurs if X causes Y and Y causes
X. Using the autoregressive representation, the full and restricted
testing model is specified to test for the instantaneous,
unidirectional, and feedback relationships between the variables.
The maximum permitted lags of the autoregressive models are
determined on the basis of the significance of the multivariate
partial autocorrelations. 12 The technique of ordinary least squares
(OLS) estimates the causal relationships, and F-statistics are
computed to test the null hypothesis of no causality.
Statistically significant instantaneous causality indicates
price movements in one area (product) are temporally correlated
with price movements in the other area (product). In this case the
two areas (products) are said to be in the same market. Moreover,
in as much as instantaneous causality indicates contemporaneous
price movements, there is no evidence of information delays
between the two markets; thus, the market mechanism is said to
be efficient.
Statistically significant unidirectional causality indicates
that current prices in one area (product) are influenced by price
movements in the other area (product), but the reverse is not the
case. Because the information content in price movements in one
area (product) is unidirectionally useful for prediction, it is said
that unidirectional causality indicates the areas (products) are not
in the same market.
Finally, there is the possibility of feedback between the
areas (products). That is, there is information content in the price
movements in one area (product) useful for predicting movements
in the other area (product), and the reverse is true. In this case,
 84 - Price Correlation

price movements in both areas (products) are adjusting over short

time intervals, but there are information delays. For this reason,
the two areas (products) are said to constitute a market, but the
market is said to be inefficient due to the delays in information
(see Lee, Cartwright and Newbold, 1983). One caveat deserves
mention. Granger and Newbold (1986, p. 221), have pointed out
that given data limitations, "it is not possible, in general, to
differentiate between instantaneous causation in either direction
and instantaneous feedback." Nevertheless, we consider our
framework to be operational.

5. Empirical Extension

It is instructive to utilize the suggestion of S&S to calibrate

correlation price series in localized markets. While S&S (1984,
p. 576) feel this would be a fascinating area for study, they do not
find adequate price data for "asphalt, sand and gravel, bricks, and
other commodities with (arguably) local markets." While the data
source used in the present study is far from perfect, we believe
that it is both tolerably credible and that it does provide evidence
on the fragility of a monotheistic price correlation approach.
The source of the data is monthly market price quotations
by Engineering News Record field reporters: This data set covers
the time period from January, 1975, to June, 1985, and includes
monthly price data for nine products and 22 cities. 13 The nine
commodities are cement, gravel, sand, crushed stone, ready mix
concrete (3000 psi), paving asphalt (AC20), paving asphalt (AC5),
cutback asphalt, and emulsion asphalt. The 22 cities are Atlanta,
Baltimore, Birmingham, Boston, Chicago, Cincinnati, Cleveland,
Dallas, Denver, Detroit, Kansas City, Los Angeles, Minneapolis,
New Orleans, New York, Philadelphia, Pittsburgh, St. Louis, San
Francisco, Seattle, Montreal, and Toronto.
The individual price series in this data set (totally 198
series) exhibit high serial correlation. Following the procedure
used by S&S, first differences of the logarithms of prices are
employed, and the serial correlation is significantly lowered.
Market definition, as in the S&S analysis, involves testing the
significance of the correlation coefficients between first
differences of logarithms of the price series.
Several things need to be clear in interpreting the results.
First, the products of cement, gravel, sand, crushed stone,
concrete, and asphalt are assumed to be commodities with heavy
transportation costs. The lack of information on their actual
transportation costs affects the. explanatory ability of the price
test. Second, for the "same" commodity among different
geographic areas, the quality of the commodity and the lot size of
transactions are variable. These considerations could cause the
 Cartwright - 85

correlation coefficients of price movements to be less than perfect

even in highly efficient markets. Third, an arbitrarily selected
c u t o f f point for markets of a correlation coefficient of 0.5
(provided there are enough degrees of freedom that there is
statistical significance, at least at the .05 level) or above has been
selected, even though a correlation coefficient of approximately
0.2 is statistically significant at the .01 level when there are about
100 observations. We do not know of anyone who has been bold
enough to put a precise quantitative threshold value on what is a
"high" enough value of the price correlation coefficient (or for
that matter, of the cross price elasticity of demand or supply
coefficient definition of a market) to constitute strong enough
substitutes to form a market. While it is not possible to cite the
chapter and verse supporting the suggested quantitative threshold
value, we feel a (positive) correlation coefficient of .5 or higher
is consistent with the qualitative statements that are made about
market definition. At any rate, empirical testing allows one to
validate or refute the S&S conjecture that the correlations
involving heavy transportation cost commodities in (arguably)
local markets are likely to be considerably lower than most of the
commodities in nonlocal markets which they examine.

6. Empirical Results

Price Correlation Test

The data source provided a large volume of statistical
results using the simple static price correlation test. 14 Onty the
major conclusions generated from this wealth of data are
discussed. The first results concern defining the problem market.
Using a 0.5 correlation coefficient or higher (and a level of
statistical significance of .05 or better) between products of a
given city as establishing a relevant product market, the following
results are obtained:

(1) For the nine products studied no pairwise product market

exists in each city.
(2) In six cities--Baltimore, Chicago, Dallas, Minneapolis, San
Francisco, and Seattle--the products of gravel, sand, and
crushed stone are determined to be in the same product
market.
(3) In five cities--Atlanta, Chicago, Kansas City, New York,
and Philadelphia--three of the asphalt products (AC20,
AC5, and asphalt cutback) are in the same product market.
(4) In five cities--Cincinnati, Cleveland, Dallas, Denver, and
Pittsburgh--all four of the asphalt producers are in the
same product market.
86 - Price Correlation

Turning to the question of geographic markets, under the

0.5 or better correlation coefficient (and a statistical significance
of .05 or better) between cities for a given product criterion, the
following results are obtained:

(1) Cement. Only two city pairs, Atlanta-Kansas City and

Montreal-Toronto, are determined to be in the same
geographic market.
(2) Gravel. Only two city pairs, Detroit-Los Angeles and
New Orleans-Montreal, are determined to be in the same
geographic market.
(3) Sand. None of the cities are in the same geographic
market.
(4) Crushed stone. None of the price series shows evidence
of a geographic market.
(5) Ready Mix Concrete. The results weakly suggest that
Boston, Cincinnati, and Detroit form a geographic market
for this product.
(6) AsphaIt. In general, there are more geographic market
pairings for the asphalt products than any nonasphalt
products. For AC20 there are eight cities that are
significantly connected. There are ten cities forming
geographic markets for AC5 (which in some cities had
limited data). For cutback asphalt there are seventeen
cities pairs forming geographic markets.

Thus, in summary, the S&S conjecture that these six

presumably high transport cost commodities would not be likely
to compete in nonlocal markets is generally supported.

Granger Causality Test

In this section we apply the Granger causality model to
some of the given, and in some cases slightly extended in time,
S&S (1985) market price data for five of their eight cases. 15 In
four cases we test the geographic scope of the relevant market and
in the fifth case the product scope is examined. S&S concluded,
under the price correlation test, the following: (1) capital (there
is a single geographic market: interest rates charged on new
mortgages in Chicago, Los Angeles, and New York), (2) flour
(there is a single geographic market: wholesale prices in Buffalo,
Kansas City, Minneapolis, and Portland), (3) residual oil (there is
not a single geographic market: residual oil prices in the M i d -
Atlantic, New England, Pacific and West-South-Central regions),
(4) silver (there is a single geographic market: daily closing silver
prices per troy ounce on the Chicago Board of Trade and the New
York Commodity Exchange, and (5) various petroleum products
 Cartwright - 87

(there is a single product market between regular gasoline,

unleaded gasoline, and diesel oil, but residual oil is not related to
these three: prices of regular and unleaded gasoline, and diesel oil,
and residual oil). We test for both instantaneous causality and
unidirectional causality in each of these five market cases.
To summarize, there are three possibilities. (1) The areas
(products) may be in the same market, and the market may be
efficient. This is implied by instantaneous causality. (2) The
areas (products) may not constitute a market. This is implied by
unidirectional causality. (3) The areas (products) may constitute
a market, although that market may be inefficient in the sense
that there are short temporal information delays between the
markets. Such time delays are inconsistent with the concept of
perfectly competitive commodity markets (see e.g., Henderson and
Quandt, pp. 136-137).
The causaIity tests suggest that the flour market in
Minneapolis, Kansas City, Portland, and Buffalo is a single
geographic market, but it is not an efficient market in that there
are significant lagged responses of price changes. Los Angeles,
New York, and Chicago are found to be in the same new
mortgage funds capital geographic market, which is not efficient.
Existence of feedback relationships implies that interest rates in
the three cities are determined simultaneously (the exception is
that the interest rates in Los Angeles are not caused by past
mortgage rates in Chicago). There is no common residual oil
geographic market among the four r e g i o n s - - N e w England, M i d -
Atlantic, West-South-Central, and Pacific. Some lag responses
exist between residual oil prices in the Mid-Atlantic, New
England, and West-South-Central regions. Hence, the residual oil
market is characterized as a market that is inefficient in reflecting
the available price information. There are unidirectional causality
and feedback relations between the four regions. Regular
gasoline, unleaded gasoline, and diesel oil form a common refined
oil product market. Residual oil and diesel oil may appear highly
substitutable, but residual oil and the other two refined oils are
much less so. The petroleum products market is efficient since
there is significant instantaneous causality while none of the
unidirectional or feedback causality results are significant at the
5% level. Finally, the New York Commodity Exchange and the
Chicago Board of Trade form a common efficient silver exchange
market.
In general, the Granger causality approach provides results
consistent with those obtained by S&S (1985) for the market
boundaries. The Granger causality test further determines
whether markets are efficient or not in a dynamic sence. When
dealing with the issues of market delineation in industrial
88 - Price Correlation

economics, the Granger causality testing is both a theoretically

appropriate and an empirically promising approach. However, the
Granger causality model needs to be applied, the quality of the
data permitting, to a variety of examples in practice to confirm
the value of causality approach as a complement to (or substitute
for) the price correlation approach.. Since the major purpose of
this is to apply the price correlation test to local markets and
because of the more demanding nature of the data quality for the
Granger procedure, we did not apply the Granger test to our more
fragile local market data. 16

7. Summary and Conclusions

This paper attempts to show the advantages and the disadvantages

of the price correlations approach when used exclusively in
defining a market.' Using a fairly extensive data base of nine
commodities in 22 cities with the S&S price correlation
methodology, there is limited support for the S&S conjecture that
certain (arguably) high transportation cost commodities would
form citywide local markets. However, even where the price test
supports a geographic market, some city pairs are intuitively
implausible, such as gravel in Detroit and Los Angeles. It is likely
that the four asphalt products are in the same product market,
although in some situations, the other five commodities, i.e.,
cement, concrete, crushed stone, and sand are close product
substitutes.
The Granger causality test, provided the data are
reasonably accessible, is a useful supplement to the price
correlation test. When applied to the amenable part of the S&S
data set, the Granger technique provided a general corroboration
of the S&S market definitions. But the Granger technique also
provided additional insights into the important dynamic efficiency
of pricing in the areas and the products examined by S&S.
While it does not appear that any monotheistic approach
to market definition is presently supportable, further research
may change this. Further research is needed, for instance, as S&S
(pp. 584-585) admit, concerning the time dimension of the
relative prices. What mechanisms help and hinder convergence in
markets? When that research is completed, perhaps a feasible solo
measure of market delineation may surface. Until then, more
complex modelling and/or more sophisticated testing techniques,
such as autoregressive moving average models, hold out some
hope at least as ancilliary testing procedures. Alternatively, if one
wants to test market power more directly instead of indirectly
through market shares, the residual demand approach, which
defines markets where residual demand is low, merits
investigation. (See e.g., Baker, 1987; Baker and Bresnahan, 1984,
 Cartwright - 89

1985; Kohler, 1988; and Scheffman and Spiller, 1987.) The most
that can be claimed in this paper is an occasion for further
research on the vital and challenging issue of market definition.
90 - Price Correlation

Endnotes

One of the authors was involved in one of the antitrust

cases involving market determination that Stigler and
Sherwin (1985) discuss and utilize extensively. It is
interesting, although perhaps not causal, that some of the
suggestions that were raised to their earlier approach to
market definition have been incorporated into the more
refined version that is contained in their published paper.
There is a debt of gratitude owed to the economists and
lawyers of the FTC who provided help during the case.
The authors are also indebted to several members of the
staff of Engineering News Record, (ENR) for the
countless but numerous hours they spent in helping us
"clean up" the data base.

. See e.g., American Bar Association (1986, especially 62-

161), Blair and Kaserman (1985), Boyer (1984, 1985),
Bresnahan (1989), Elzinga, ( 1981), Elzinga and Rogowsky
(1984), Jacquemin (1987), Johnson (1986), Klein (1985),
Martin (1988), Ordover and Wall (1989), Scheffman and
Spiller (1987), Schmalensee and Willig (1989), Stiglitz and
Mathewson (1986), Tirole (1988), U.S. Department of
Justice Merger Guidelines (1984).

. See Glassman (1980), Griffin and Kushner (1982),

Horowitz (1981, 1982), Landes and Posner (1981), Martin
(1988), Rogowsky and Shughart (1982), Slade (1986),
Stigler and Sherwin (1985), and Werden (1981, 1983,
1985).

. To be sure, these various authors are not all in agreement;

e.g., S&S (1985) and Slade (1986) criticize Horowitz's
approach as lacking general validity theoretically and/or
as inappropriate applied empirically. Howell (1984) and
Uri, Howell and Rifkin (1985) show that the test proposed
by Horowitz, and even a generalization of it, provide
conflicting and inconsistent results. They also indicate
that correlation analysis has the potential for providing
misleading results. Their analysis suggests the notion of
causality is a promising approach to the market definition.
Other studies which are critical of the price correlation
tests include Baker (1987), Baker and Breshanan (1985),
and Spiller and Huang (1985). Kimmel (1987), also points
out the difficulties with using price correlations in
antitrust analysis. Scheffman and Spiller (1987) emphasize
the residual demand curve approach to measure market
 Cartwright - 91

power and that economic markets are different than

antitrust markets.

. While S&S (1985, p. 566) maintain that their definition is

essentially equivalent to the more common one involving
high cross price elasticity of demand or supply, their proof
is not rigorous. See Bishop (1952) and Stegemann (1974).

. Without getting into the details, serial correlation arises if

there is not intertemporal independence in the disturbance
(error or random) terms. See almost any standard
econometrics textbook, e.g., Box and Jenkins (I976) or
Judge, et al. (1988).

. See, e.g., Blair and Kaserman (1985, p. 107), Elzinga and

Hogarty (1973, p. 48), and Steiner (1968, pp. 575-581).

. See Granger (1969, 1977), Newbold (1981), and Sims

(1972).

. The Granger approach used in this paper is believed more

appropriate for market definition than that employed by
Slade (1986) or Uri, Howell and Rifkin (1985) for reasons
discussed in Huang (1987, pp. 72-73). Briefly, Uri,
Howell and Rifkin use the asympotically weaker Pierce-
Haugh test and Slade uses an arbitrarily set lag length
instead of an A R M A procedure. We use the
parsimoniously parameterized multiple A R M A model in
our Granger causality testing.

. An efficient market is one in which the prices accurately

reflect all relevant information and in which new
information is rapidly and accurately reflected in prices.
For more detail, see Fama (1970).

10. See K i m m e l (1987) for a discussion of where there can be,

in an antitrust sense, two markets even though the price
correlations are high or even perfect, or where there can
be one market even though the price correlations are low
or even negative. In all, he points out seven factors that
can make any market definition derived from price
correlations inconvenient for antitrust analysis.

11. Definitions of unidirectional and instantaneous causality

appear in Granger (1969), p. 428 and p. 429 respectively.
92 - Price Correlation

12. See Ansley and Newbold (1979).

13. The various limitations of these 198 price series (9

products in 22 cities) generally consisting of 126 monthly
F.O.B. market list price quotations from January, 1975 to
June, 1985 gathered by ENR field reports are described
in Huang (1987).

14. Our complete empirical results are available upon request.

15. S&S also examined, inter alios, (1) whether flour made
from hard winter wheat, soft wheat, and durum form a
product market; and what is the geographic market for (2)
industrial nurses working in manufacturing establishments
and (3) female accounting clerks. We did not test these
three cases.

16. For best results the Granger procedure should have a large
sample size of relatively clean, homogeneous, and
appropriate data. We concluded that while our local
market data did not meet these rigorous requirements, the
S&S data, especially when extended in time as we did,
were suitable.

17. A systematic collection of judical decisions that considered

price correlations is found in American Bar Association,
Monograph No. 2 (1986): 78 nn. 379-81, 86 nn. 431-32,
and 102-105.
 Cartwright - g3

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