Unit Roots, TV-STARs, and the Commodity Terms of Trade: A Further Assessment of the Prebisch-Singer Hypothesis

Joseph Balagtas () and Matthew Holt

No 21405, 2006 Annual meeting, July 23-26, Long Beach, CA from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: This paper examines the Prebisch-Singer hypothesis, that is, the hypothesis of a long-run decline in the prices of primary commodity prices relative to that of manufactured goods, by considering nonlinear alternatives. Specifically, in this paper we use bootstrap procedures to test the linear unit root model against models belonging to the family of smooth transition autoregressions (STARs) for 24 commodities, 1900-98. In eighteen cases we reject the linear null at usual significance levels. In fourteen cases we are able to successfully fit STAR-type models. Simulation results show there is very little support for the Prebisch-Singer hypothesis.

Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
Pages: 38
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea06:21405

DOI: 10.22004/ag.econ.21405

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