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Splines and seasonal unit roots in weekly agricultural prices

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  • Caceres-Hernandez, Jose
  • Martin-Rodriguez, Gloria

Abstract

In this paper, a methodological proposal is described to test for seasonal unit roots in weekly series of agricultural prices. When the deterministic seasonal component is not fixed over the sample, the tests for unit roots at seasonal frequencies tend to fail to reject the null hypothesis. This being the case, the original series are proposed to be filtered in order to remove the evolving deterministic seasonal component before applying standard procedures for testing for seasonal unit roots. In such a sense, the non-restricted evolving spline model (ESM) and the restricted evolving spline model (RESM) are shown to be useful parametric formulations to capture this type of deterministic seasonal pattern.

Suggested Citation

  • Caceres-Hernandez, Jose & Martin-Rodriguez, Gloria, 2015. "Splines and seasonal unit roots in weekly agricultural prices," 2015 Conference, August 9-14, 2015, Milan, Italy 211380, International Association of Agricultural Economists.
    • Handle: RePEc:ags:iaae15:211380
    DOI: 10.22004/ag.econ.211380
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    References listed on IDEAS

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    2. El Montasser, Ghassen, 2014. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 54920, University Library of Munich, Germany.
    3. Harvey, Andrew & Koopman, Siem Jan & Riani, Marco, 1997. "The Modeling and Seasonal Adjustment of Weekly Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 354-368, July.
    4. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    5. Johan Lyhagen, 2006. "The seasonal KPSS statistic," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-9.
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    Keywords

    Agribusiness; Agricultural Finance;

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