Do Rice Prices Follow a Random Walk? Evidence from Markov Switching Unit Root Tests for Asian Markets

Lee, Jim and Valera, Harold Glenn (2015): Do Rice Prices Follow a Random Walk? Evidence from Markov Switching Unit Root Tests for Asian Markets. Published in: , Vol. 47, (24 August 2016): pp. 683-695.

Abstract

This study revisits the issue of mean reversion in the import rice prices of Asian countries over the period between 1995 and 2015. Augmented Dickey Fuller tests with a conventional linear regression model support the presence of a unit root in the levels of the price data. However, when regressions allow for Markov switching in coefficients and variances to capture periodic shifts in levels and volatilities, there is strong evidence against the unit-root null hypothesis in favor of stationarity over much of the observation period.

• Item Type: MPRA Paper
• Language: English
• Keywords: Unit root, Markov switching, structural change, rice price
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C24 - Truncated and Censored Models ; Switching Regression Models ; Threshold Regression Models; F - International Economics > F1 - Trade > F13 - Trade Policy ; International Trade Organizations; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q1 - Agriculture > Q11 - Aggregate Supply and Demand Analysis ; Prices

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