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STAR unit root test e os preços da cana-de-açúcar no Brasil: evidências empíricas não lineares

Author

Listed:
  • Cleyzer Adrian da Cunha

    (FACE-UFG, Ciências Econômicas)

  • Alcido Elenor Wander

    (EMBRAPA)

Abstract

The empirical models of analysis of non stationarity vis-à-vis the stationarity have been well explored in studies on time series. However, the same literature considers those issues in linear models, without considering the possibility of non linearity in time series behavior. Thus, this study analyzed the behavior of time series of sugar cane prices using the non linear unit root test KSS (Smooth Transition Autoregressive – STAR) by KAPETANIOS, SHIN e SNELL (2003).

Suggested Citation

  • Cleyzer Adrian da Cunha & Alcido Elenor Wander, 2009. "STAR unit root test e os preços da cana-de-açúcar no Brasil: evidências empíricas não lineares," Working papers - Textos para Discussao do Curso de Ciencias Economicas da UFG 001, Curso de Ciencias Economicas da Universidade Federal de Goias - FACE.
    • Handle: RePEc:ufb:wpaper:001
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    File URL: https://files.cercomp.ufg.br/weby/up/118/o/TD_001.pdf
    File Function: First version, 2009
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    More about this item

    Keywords

    non linear unit root test; time series; prices;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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