The Law of One Price (LOP) is an important component of most, if not all, international trade models because this assumption allows researchers to use a single representative price for all regions. This paper examines the long-run LOP for international commodity prices using a generalized notion of cointegration called fractional cointegration. This analysis is applied to nine pairs of price series, supporting the existence of LOP in eight cases.
Mohanty, Samarendu; Smith, Darnell B.; Peterson, E. Wesley F.; and Meyers, William H., "Law of One Price in International Commodity Markets: A Fractional Cointegration Analysis" (1996). CARD Working Papers. 198.