Stationarity of seasonal patterns in weekly agricultural prices

  1. Cáceres-Hernández, José J.
  2. Martín-Rodríguez, Gloria
Revista:
Spanish journal of agricultural research

ISSN: 1695-971X,  2171-9292

Ano de publicación: 2018

Volume: 16

Número: 3

Tipo: Artigo

DOI: 10.5424/SJAR/2018163-12937 DIALNET GOOGLE SCHOLAR lock_openDialnet editor

Outras publicacións en: Spanish journal of agricultural research

Resumo

Weekly series of agricultural prices usually exhibit seasonal variations and the stationarity of these variations should be taken into account to analyse price relationships. However, unit root tests at seasonal frequencies are unlikely to have good power properties. Furthermore, movements in actual price series are often not as expected when unit roots are present. Therefore, stationarity tests at seasonal frequencies also need to be applied. In this paper, a procedure to test for the null hypothesis of stationarity at seasonal frequencies was extended to the weekly case. Once critical values were obtained by simulation exercises, unit root and stationarity tests were applied to weekly retail prices of different agricultural commodities in Spain. The most relevant finding was that many unit roots that seasonal unit root tests failed to reject did not seem to be present from the results of seasonal stationarity tests, whereas seasonal unit root tests led to the rejection of some unit roots that seemed to be present according to the results of seasonal stationarity tests. In conclusion, unit root tests should be complemented with stationarity tests before making decisions about the behaviour of seasonal patterns.

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