The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives

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This article extends the recent literature on the Prebisch–Singer hypothesis of a long-run decline in the

relative prices of primary commodities. Our main innovation is testing for and estimating nonlinear

alternatives to a secular deterioration. Specifically, we use bootstrap procedures to test the linear unit

root model against models belonging to the family of smooth transition autoregressions (STARs) for

twenty-four commodities, 1900–2003. In nineteen cases we reject the linear null at usual significance

levels. In sixteen cases we are able to successfully fit STAR-type models. Simulation results show there

is little support for the Prebisch–Singer hypothesis.

Key words: nonlinear model, primary commodities, smooth transition autoregression, time-varying

autoregression, unit root tests.
The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives.pdf (1.53 MB)

2009-10-6 11:00:05 上传

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关键词：alternatives Alternative Nonlinear Commodity unit root The Trade Unit Commodity alternatives