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Testing of the Seasonal Unit Root Hypothesis in the Price Indices of Agricultural Commodities in India

Aviral Tiwari, Subhendu Dutta () and Aruna Dash ()
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Subhendu Dutta: Dept. of Economics, IBS, Hyderabad, IFHE University, Hyderabad

Asian Journal of Agriculture and Development, 2017, vol. 14, issue 2, 63-81

Abstract: The study analyzed the persistence of shocks to the seasonal time series of the price indices of selected agricultural commodities in India. The seasonal unit root test procedure proposed by Hylleberg et al. (1990) and Beaulieu and Miron (1992) were used for 10 major price indices of agricultural commodities. The study covered the period January 2000 to January 2013. Overall results provide significant and robust evidence rejecting the presence of unit roots at all seasonal frequencies for cereals; condiments and spices; eggs, meat, and fish; pulses; and vegetables. For the rest of the commodities studied, evidence indicates that the seasonality present is partly deterministic and partly stationary stochastic. These findings have important policy implications for policymakers and research analysts.

Keywords: agricultural price indices; shocks; seasonality (search for similar items in EconPapers)
JEL-codes: C22 O13 Q11 Q17 Q18 (search for similar items in EconPapers)
Date: 2017
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