文章基本信息

标题：Nonlinearities in Regional Rice Prices in the Philippines: Evidence from a Smooth Transition Autoregressive (STAR) Approach
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作者：Pede, Valerien O. ; Valera, Harold Glenn A. ; Alam, Mohammad Jahangir 等
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：2013
期号：Suppl
出版社：Journal of Agribusiness
摘要：This paper investigates nonlinear dynamics in monthly rice prices of 16 regions in the Philippines at three levels: farm gate, wholesale and retail, over the period of January 1990 to December 2012. We used a series of tests to investigate whether the regional prices are characterized by linear processes or non-linear smooth transition autoregressive (STAR)-type dynamics. Results indicate that STAR-type nonlinearity exists in several regions, and particularly for farm gate prices. The most common process is a logistic STAR dynamic characterizing an asymmetric price behavior determined by two regimes and a smooth switching process.
关键词：nonlinearity;rice price;smooth transition