Exploring stationarity and structural breaks in commodity prices by the panel data model

Chao-Hsiang Yang, Chi-Tai Lin and Yu-Sheng Kao

Applied Economics Letters, 2012, vol. 19, issue 4, 353-361

Abstract: This article applies the panel unit root test of Carrion-i-Silvestre et al. (2005) to examine the relative prices of 24 nonfuel commodities over the period from 1900 to 2003. This test method allows for endogenous multiple structural breaks and the presence of cross-sectional dependence among commodities. The empirical results provided evidence of stationarity in relative prices of most commodities and supported the price theory in economics. In addition, the findings show that the locations of structural breaks coincided with the occurrences of some exogenous events over the past 100 years.

Date: 2012
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DOI: 10.1080/13504851.2011.579052

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