Evolving splines and seasonal unit roots in weekly agricultural prices

José Juan Cáceres-Hernández and Gloria Martın-Rodrıguez

Australian Journal of Agricultural and Resource Economics, 2017, vol. 61, issue 2

Abstract: The univariate statistical properties of agricultural price series need to be examined as a first step in the analysis of price transmission mechanisms. However, in the case of weekly price series, increasingly available, the testing procedures usually applied in this step are not suitable to deal with evolving seasonal effects. In this study, a method of testing for seasonal unit roots in weekly series of agricultural prices is described. When the deterministic seasonal component does not remain constant over time, the restricted evolving spline model (RESM) is shown to be a useful parametric formulation to capture the deterministic seasonal pattern. Therefore, the RESM model should be included as a deterministic component in auxiliary regression for unit root tests at seasonal frequencies. This proposal is applied to three weekly series of Canary Islands banana prices. From the standard seasonal unit root tests, the null hypothesis is failed to be rejected at the 5% or 10% significance level at some seasonal frequencies for each one of the series. Once critical values are obtained by simulation exercises when the RESM model is included, the hypotheses of unit root are rejected at each one of the seasonal frequencies for all of the three series.

Keywords: Demand and Price Analysis; Research Methods/Statistical Methods (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ageconsearch.umn.edu/record/302933/files/ajar12205.pdf (application/pdf)

Related works:
Journal Article: Evolving splines and seasonal unit roots in weekly agricultural prices (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:aareaj:302933

DOI: 10.22004/ag.econ.302933

Access Statistics for this article

More articles in Australian Journal of Agricultural and Resource Economics from Australian Agricultural and Resource Economics Society Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().