Do rice prices follow a random walk? Evidence from Markov switching unit root tests for Asian markets
使用马尔可夫转换单位根检验，发现1995至2015年间六个亚洲国家的大米进口价格在大部分时期是平稳的，而非随机游走，对农产品价格预测和政策制定有参考价值。
This study revisits the issue of mean reversion in the import rice prices of six Asian countries over the period between 1995 and 2015. Augmented Dickey Fuller tests with a conventional linear regression model support the presence of a unit root in the levels of the price data. However, when regressions allow for Markov switching in coefficients and variances to capture periodic shifts in levels and volatilities, there is strong evidence against the unit-root null hypothesis in favor of stationarity over much of the observation period.