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

Author

Listed:
  • Aviral Kumar Tiwari

    () (Dept. of Economics, IBS, Hyderabad, IFHE University, Hyderabad)

  • Subhendu Dutta

    () (Dept. of Economics, IBS, Hyderabad, IFHE University, Hyderabad)

  • Aruna Kumar Dash

    () (Dept. of Economics, IBS, Hyderabad, IFHE University, Hyderabad)

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.

Suggested Citation

  • Aviral Kumar Tiwari & Subhendu Dutta & Aruna Kumar Dash, 2017. "Testing of the Seasonal Unit Root Hypothesis in the Price Indices of Agricultural Commodities in India," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 14(2), pages 63-81, December.
  • Handle: RePEc:sag:seajad:v:14:y:2017:i:2:p:63-81
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    Keywords

    agricultural price indices; shocks; seasonality;

    JEL classification:

    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy

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