Nonlinearities in Regional Rice Prices in the Philippines: Evidence from a Smooth Transition Autoregressive (STAR) Approach

Valerien Pede (v.pede@irri.org), Harold Glenn Valera (valeraha@bsp.gov.ph), Mohammad Jahangir Alam and Andrew McKenzie

No 150246, 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. from Agricultural and Applied Economics Association

Abstract: This paper investigates nonlinear dynamics in monthly rice prices of 16 regions in the Philippines at three levels: farm gate, wholesale and retail, over the period of January 1990 to December 2012. We used a series of tests to investigate whether the regional prices are characterized by linear processes or non-linear smooth transition autoregressive (STAR)-type dynamics. Results indicate that STAR-type nonlinearity exists in several regions, and particularly for farm gate prices. The most common process is a logistic STAR dynamic characterizing an asymmetric price behavior determined by two regimes and a smooth switching process.

Keywords: Crop Production/Industries; International Development; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 22
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea13:150246

DOI: 10.22004/ag.econ.150246

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