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Are Trends Stochastic or Deterministic? A Reappraisal of Persistence in Natural Resource Prices

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  • Atanu Ghoshray

Abstract

Whether trends in natural resource prices are stochastic or deterministic is a contentious issue. To resolve this, a number of studies have used the method of integrability to the price series. However, integration is a linear concept. Various studies have suggested that the dynamic path of natural resource prices can be nonlinear, thereby making the choice of integrability methods inappropriate. Using the concept of summability, which is a generalization of integrability, we can appropriately characterize the stochastic properties for a nonlinear process. The results from this analysis find considerable evidence of persistence in natural resource prices.

Suggested Citation

  • Atanu Ghoshray, 2021. "Are Trends Stochastic or Deterministic? A Reappraisal of Persistence in Natural Resource Prices," Land Economics, University of Wisconsin Press, vol. 97(3), pages 704-721.
    • Handle: RePEc:uwp:landec:v:97:y:2021:i:3:p:704-721
    Note: DOI: 10.3368/wple.97.3.092818-0132R1
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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices

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