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In this paper, a methodological proposal is described to test for seasonal unit roots inweekly series of agricultural prices. When the deterministic seasonal component isnot fixed over the sample, the tests for unit roots at seasonal frequencies tend to fail toreject the null hypothesis. This being the case, the original series are proposed to befiltered in order to remove the evolving deterministic seasonal component beforeapplying standard procedures for testing for seasonal unit roots. In such a sense, thenon-restricted evolving spline model (ESM) and the restricted evolving spline model(RESM) are shown to be useful parametric formulations to capture this type ofdeterministic seasonal pattern.

Keywords: agricultural prices ; weekly series ; unit roots ; splines

Subject(s): Agribusiness

Agricultural Finance

Issue Date: 2015

Publication Type: Conference Paper/ Presentation

PURL Identifier: http://purl.umn.edu/211380

Total Pages: 15

JEL Codes: C22; Q11

Record appears in: International Association of Agricultural Economists (IAAE) > 2015 Conference, August 9-14, 2015, Milan, Italy

Author: Caceres-Hernandez, Jose ; Martin-Rodriguez, Gloria

Source: http://ageconsearch.umn.edu/record/211380?ln=en

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