Testing for Linear Trend with Application to Relative Primary Commodity Prices

Tae‐Hwan Kim · Stephan Pfaffenzeller · Tony Rayner · Paul Newbold

64 citations0/0 files storedJournal of Time Series Analysis

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Time Series Analysis and Forecasting

Abstract

Abstract. Much research has been devoted to assessing the evidence for linear trend in a time series. We discuss the statistical implications of some recent developments, with specific application to 24 time series of relative primary commodities prices.

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References

1988Primary Commodity Prices, Manufactured Goods Prices, and the Terms of Trade of Developing Countries: What the Long Run Shows 1998Trend Function Hypothesis Testing in the Presence of Serial Correlation 1992Long-run trends in 26 primary commodity prices 1993LONG-RUN TRENDS IN THE RELATIVE PRICE OF PRIMARY COMMODITIES AND IN THE TERMS OF TRADE OF DEVELOPING COUNTRIES 1997Estimating Deterministic Trends in the Presence of Serially Correlated Errors 1992The Prebisch-Singer Hypothesis: A Reappraisal Independent of Stationarity Hypotheses 1991Commodity and Developing Country Terms of Trade: What Does the Long Run Show?

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2007A Short Note on Updating the Grilli and Yang Commodity Price Index 2004On the prevalence of trends in primary commodity prices 2008The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach 2010A reexamination of trends in primary commodity prices 2017Re-testing Prebisch–Singer hypothesis: new evidence using Fourier quantile unit root test 2007Testing for Trend

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