Threshold Effects and Unit Roots of Real Commodity Prices Since the Mid-Nineteenth Century

2019-12-272019-12-272019-12-27https://repositorio.redinvestigadores.org/handle/Riec/46This paper investigates whether real commodity prices for six major primary goods can be characterized by a unit root process and nonlinearities. An unconstrained two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that terms of trade for agricultural, mineral, non-tropical, and non-oil goods, are nonlinear processes that are characterized by a unit root process. Additionally, we found evidence supporting the Prebisch-Singer hypothesis for mineral and tropical goods.13 páginasPDFengOpen AccessThreshold Effects and Unit Roots of Real Commodity Prices Since the Mid-Nineteenth CenturyWorking paperC22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion ProcessesQ02 - Commodity MarketsO13 - Agriculture • Natural Resources • Energy • Environment • Other Primary ProductsThreshold effectUnit rootNonlinearitiesCommodity pricesPrecios de los bienes básicosProductos básicos -- Precios internacionalesAcceso abiertoAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0