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英文文献：Commodity Prices And Unit Root Tests-商品价格和单位根检验
英文文献作者：Wang, Dabin,Tomek, William G.
英文文献摘要：
Endogenous variables in structural models of agricultural commodity markets are typically treated as stationary. Yet, tests for unit roots have rather frequently implied that commodity prices are not stationary. This seeming inconsistency is investigated by focusing on alternative specifications of unit root tests. We apply various specifications to Illinois farm prices of corn, soybeans, barrows and gilts, and milk for the 1960 through 2002 time span. The preponderance of the evidence suggests that nominal prices do not have unit roots, but under certain specifications, the null hypothesis of a unit root cannot be rejected, particularly when the logarithms of prices are used. If the test specification does not account for a structural change that shifts the mean of the variable, the results are biased toward concluding that a unit root exists. In general, the evidence does not favor the existence of unit roots.
摘要在农业商品市场结构模型中，内生变量通常被视为平稳变量。然而，对单位根的检验常常暗示商品价格不是平稳的。这种表面上的不一致性是通过关注单位根测试的替代规范来研究的。我们应用各种规格的伊利诺伊州农场价格的玉米，大豆，手推车和金边，牛奶从1960年到2002年的时间跨度。大量证据表明，名义价格没有单位根，但在某些规格下，不能拒绝单位根的零假设，特别是在使用价格对数时。如果测试规格说明没有说明转移变量平均值的结构变化，结果就偏向于得出单位根存在的结论。一般来说，证据不支持单位根的存在。
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