Font de Villanueva, Cecilia

May, 2022

By: Gil-Alana, Luis A. ; Font de Villanueva, Cecilia
This paper deals with the analysis of world commodity prices by examining 15 categories of commodity prices using fractional integration and including thus fractional points. We use data corresponding to the 1960Ð2018 period obtained from the World Bank, and the results indicate high degrees of persistence in the majority of the series, especially when using parametric methods. However, mean reversion is obtained in many cases when using semiparametric approaches. The possibility of structural breaks is also considered, and our results confirm the high degree of persistence in the data, which seems to have increased across time.