Commodity Prices and Unit Root Tests
Price theory suggests that commodity prices should be stationary series. Yet, tests for unit roots rather frequently imply that these prices are not stationary. This seeming inconsistency is investigated by applying alternative specifications of unit root tests to prices of corn, soybeans, barrows and gilts, and milk. The preponderance of evidence suggests that nominal prices do not have unit roots, but the results are sensitive to the specification of the test equation. Accounting for a structural change that shifts the mean appears to be an important issue in unit root tests. Copyright 2007, Oxford University Press.
Year of publication: |
2007
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Authors: | Wang, Dabin ; Tomek, William G. |
Published in: |
American Journal of Agricultural Economics. - Agricultural and Applied Economics Association - AAEA. - Vol. 89.2007, 4, p. 873-889
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Publisher: |
Agricultural and Applied Economics Association - AAEA |
Saved in:
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