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

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.


Issue Date:
2006
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/21405
Total Pages:
38
Note:
Replaced with revised version of paper 06/27/06.
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-08-24

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