The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach
用平滑转换自回归模型检验24种商品1900-2003年的相对价格，发现多数商品拒绝线性单位根假设，不支持普雷比施-辛格假说。
Abstract 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.