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| Author: | Lee, J. List, J.A. Strazicich, M.C. |
| Title: | Non-renewable resource prices: determinidtic or stochastic trends? |
| Journal: | Journal of Environmental Economics and Management
2006 : MAY, VOL. 51:3, p. 354-370 |
| Index terms: | commodity prices forecasting non-renewable resources unit roots |
| Language: | eng |
| Abstract: | This paper investigates temporal properties of 11 natural resource real prices series from 1870 to 1990. The authors employ a Lagrangian multiplier unit root test that allows for two endogenously determined structural breaks with and without a quadratic trend. Evidence is found against the unit root hypothesis for all price series. The findings support characterizing natural resource prices as stationary around deterministic trends with structural breaks. Both pre-testing for unit roots with breaks and and allowing for breaks in the forecast model can improve forecast accuracy. |
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