Commodity Prices and Unit Root Tests
用玉米、大豆、生猪和牛奶价格数据，检验单位根检验的不同设定是否影响商品价格平稳性的结论，发现名义价格通常平稳，但结果对检验方程设定敏感，考虑均值结构变化很重要。
Abstract Price theory suggests that commodity prices should be stationary series. Yet, tests for unit roots rather frequently imply that these prices are not stationary. This seeming inconsistency is investigated by applying alternative specifications of unit root tests to prices of corn, soybeans, barrows and gilts, and milk. The preponderance of evidence suggests that nominal prices do not have unit roots, but the results are sensitive to the specification of the test equation. Accounting for a structural change that shifts the mean appears to be an important issue in unit root tests.