Are daily agricultural grains prices stationary? New evidence from GARCH-based unit root tests
Afees Salisu () and
No 36, Working Papers from Centre for Econometric and Allied Research, University of Ibadan
In this paper, we employ the GARCH-based unit root tests including the one proposed by Narayan and Liu (NL) (2015) to further examine the stationarity of daily agricultural grain prices from 1986 to 2015. We also compare the performance of these tests with standard unit root tests. Our results suggest that the unit root test for agricultural grains prices is better modeled in the presence of GARCH process with a time trend and possibly one or two shifts in the intercept. The policy implications of these findings are well documented in the paper.
Keywords: Trend; Structural break; Conditional heteroscedasticity; Unit root; Agricultural grains prices (search for similar items in EconPapers)
JEL-codes: C12 C58 Q11 (search for similar items in EconPapers)
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