Journal of Integrative Agriculture ›› 2015, Vol. 14 ›› Issue (6): 1115-1121.DOI: 10.1016/S2095-3119(14)60994-1

• 论文 • 上一篇    下一篇

Nonlinear dynamics of pork price in China

ZHAO  Guo-qing, WU  Qiong   

  1. School of Economics, Renmin University of China, Beijing 100872, P.R.China
  • 收稿日期:2014-07-23 出版日期:2015-06-05 发布日期:2015-06-11
  • 通讯作者: ZHAO Guo-qing, Tel: +86-10-82500714,Fax: +86-10-62511091, E-mail: zhaogq@ruc.edu.cn; WU Qiong,E-mail: wuqiong1987@hotmail.com
  • 基金资助:

    This study was supported by the Fundamental Research Funds for the Central Universities and the Research Funds of Renmin University, China (12XNK015).

Nonlinear dynamics of pork price in China

ZHAO  Guo-qing, WU  Qiong   

  1. School of Economics, Renmin University of China, Beijing 100872, P.R.China
  • Received:2014-07-23 Online:2015-06-05 Published:2015-06-11
  • Contact: ZHAO Guo-qing, Tel: +86-10-82500714,Fax: +86-10-62511091, E-mail: zhaogq@ruc.edu.cn; WU Qiong,E-mail: wuqiong1987@hotmail.com
  • Supported by:

    This study was supported by the Fundamental Research Funds for the Central Universities and the Research Funds of Renmin University, China (12XNK015).

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摘要： This paper primarily analyzes the evolution path of China’s pork price by employing the threshold autoregression model (TAR). Considering the unit root test with a threshold effect and heteroskedasticity of the TAR model, we show that the pork price series is a unit root process in each regime, and the heteroskedasticity in the TAR model greatly affects the results of linearity test. We find that the changing process of pork price has two regimes: mild regime and expansion regime. In particular, a change belongs to an expansion regime if it is larger than 0.5881; otherwise, it falls in the mild regime.

关键词: pork price , heteroskedasticity , TAR unit root

Abstract: This paper primarily analyzes the evolution path of China’s pork price by employing the threshold autoregression model (TAR). Considering the unit root test with a threshold effect and heteroskedasticity of the TAR model, we show that the pork price series is a unit root process in each regime, and the heteroskedasticity in the TAR model greatly affects the results of linearity test. We find that the changing process of pork price has two regimes: mild regime and expansion regime. In particular, a change belongs to an expansion regime if it is larger than 0.5881; otherwise, it falls in the mild regime.

Key words: pork price , heteroskedasticity , TAR unit root