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

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  • Pede, Valerien O.
  • Valera, Harold Glenn A.
  • Alam, Mohammad Jahangir
  • McKenzie, Andrew M.

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.

Suggested Citation

  • Pede, Valerien O. & Valera, Harold Glenn A. & Alam, Mohammad Jahangir & McKenzie, Andrew M., 2013. "Nonlinearities in Regional Rice Prices in the Philippines: Evidence from a Smooth Transition Autoregressive (STAR) Approach," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150246, Agricultural and Applied Economics Association.
  • Handle: RePEc:ags:aaea13:150246
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    Keywords

    nonlinearity; rice price; smooth transition; Crop Production/Industries; International Development; Research Methods/ Statistical Methods;

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