Commodity prices and unit root tests

被引：82

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

页码：873 / 889

页数：17

共 50 条

[31] LM threshold unit root tests
Lee, Junsoo
Strazicich, Mark C.
Yu, Byung Chul
ECONOMICS LETTERS, 2011, 110 (02) : 113 - 116
[32] Efficient tests for an autoregressive unit root
Elliott, G
Rothenberg, TJ
Stock, JH
ECONOMETRICA, 1996, 64 (04) : 813 - 836
[33] A comparison of alternative unit root tests
Halkos, GE
Kevork, IS
JOURNAL OF APPLIED STATISTICS, 2005, 32 (01) : 45 - 60
[34] Efficient tests for an autoregressive unit root
Dept. of Economics, University of California-San Diego, 9500 Gilman Dr., La Jolla, CA 92093
Econom, 4 (813-836):
[35] Unit root and stationarity tests' wedding
Carrion-i-Silvestre, JL
Sansó-i-Rosselló, A
Ortuño, M
ECONOMICS LETTERS, 2001, 70 (01) : 1 - 8
[36] Mean reversion in Asia-Pacific stock prices: New evidence from quantile unit root tests
Nartea, Gilbert, V
Valera, Harold Glenn A.
Valera, Maria Luisa G.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2021, 73 : 214 - 230
[37] New Unit Root Tests in the Nonlinear ESTAR Framework: The Movement and Volatility Characteristics of Crude oil and Copper Prices
Li, Yanglin
COMPUTATIONAL ECONOMICS, 2024, 63 (05) : 1757 - 1776
[38] Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries
Narayan, Paresh
Prasad, Arti
ECONOMICS BULLETIN, 2007, 3
[39] Performance of unit-root tests for non linear unit-root and partial unit-root processes
Zhang, Lingxiang
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2016, 45 (15) : 4528 - 4536
[40] Commodity prices and related equity prices
Chen, Shiu-Sheng
CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE, 2016, 49 (03): : 949 - 967

← 1 2 3 4 5 →