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.
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书目信息
出版者
Oxford University Press
其它主题
Milk prices; Commodity exchange; Commodity prices; Corn
语言
英语
注释
Journal article
类型
Journal Article; Text
2024-02-28
2026-02-03
MODS