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Are daily agricultural grains prices stationary? New evidence from GARCH-based unit root tests

Author

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  • Afees A. Salisu

    (Centre for Econometric and Allied Research, University of Ibadan)

  • Tirimisyu F. Oloko

    (Centre for Econometric and Allied Research, University of Ibadan)

Abstract

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.

Suggested Citation

  • Afees A. Salisu & Tirimisyu F. Oloko, 2017. "Are daily agricultural grains prices stationary? New evidence from GARCH-based unit root tests," Working Papers 036, Centre for Econometric and Allied Research, University of Ibadan.
    • Handle: RePEc:cui:wpaper:0036
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    References listed on IDEAS

    as
    1. Salisu, Afees A. & Fasanya, Ismail O., 2013. "Modelling oil price volatility with structural breaks," Energy Policy, Elsevier, vol. 52(C), pages 554-562.
    2. Strazicich, Mark C. & Lee, Junsoo & Day, Edward, 2004. "Are incomes converging among OECD countries? Time series evidence with two structural breaks," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 131-145, March.
    3. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
    4. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
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    6. Paresh Kumar Narayan & Stephan Popp, 2010. "A new unit root test with two structural breaks in level and slope at unknown time," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(9), pages 1425-1438.
    7. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2014. "Oil price shocks and agricultural commodity prices," Energy Economics, Elsevier, vol. 44(C), pages 22-35.
    8. Afees A. Salisu & Umar B. Ndako & Tirimisiyu F. Oloko & Lateef O. Akanni, 2016. "Unit root modeling for trending stock market series," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(2), pages 82-91, June.
    9. Narayan, Paresh Kumar & Liu, Ruipeng, 2011. "Are shocks to commodity prices persistent?," Applied Energy, Elsevier, vol. 88(1), pages 409-416, January.
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    12. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
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    More about this item

    Keywords

    Trend; Structural break; Conditional heteroscedasticity; Unit root; Agricultural grains prices;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices

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