Commodity prices and unit root tests

被引：83
|
作者：
Wang, Dabin [1 ]
Tomek, William G. [1 ]
机构：
[1] Cornell Univ, Dept Appl Econ & Management, Ithaca, NY 14853 USA
来源：
AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS | 2007年 / 89卷 / 04期
关键词：
commodity prices; unit root tests; TIME-SERIES; STRUCTURAL-CHANGE; LONG-RUN; HYPOTHESIS; TRENDS; BREAKS; COINTEGRATION; BEHAVIOR; CYCLES; POWER;
D O I：
10.1111/j.1467-8276.2007.01031.x
中图分类号：
F3 [农业经济];
学科分类号：
0202 ; 020205 ; 1203 ;
摘要：
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.
引用
收藏
页码：873 / 889
页数：17
相关论文
共 50 条
12345