Abstract
Decomposing economic time series into their temporary and permanent components have followed two broad paths: trend versus difference stationary models and detrending versus filtering. Whereas the former breaks down due to their inability to capture the underlying data generation process (dgp), the latter are either one sided filters or are based on ad hoc procedures in achieving parsimony. In this paper, we propose structural time series models in which trends, cycles, seasonal components are treated as stochastic, and which contains the traditional approach as a special case. Cast in state space form, and estimated using maximum likelihood via the Kalman filter, these models accurately predict the behaviour of commodity prices through time. Using data on agricultural raw materials and metal price indices for the 1957(1) to 2008(4) period we document the frequency and duration of commodity prices, key elements for designing policies aimed at smoothing terms of trade shocks and the resulting macroeconomic effects associated with price disruptions. We found that the individual dgp have varied over time and are best captured as stochastic rather than deterministic trends. Moreover, we uncover multiple structural breaks and outliers, far beyond what extant results would like us to believe. Finally, the models remain robust in an out of sample forecast.
Contents
1 Trends and cycles in primary commodities: state space modeling and the Kalmar filter Paul Alagidede Page 1
2 Does political stability improve an aid-growth relationship? Panel evidence on selected Sub-Saharan African countries Stephen Armah Page 7
3 Free-riding and incidence of poverty in Ghana Frank Ofori Page 21
4 Media freedom and political stability in Sub-Saharan Africa: a panel data study Stephen Armah/Lloyd Amoah Page 33
5 Will hedging joint cocoa price and production risk-benefit Ghana? Stephen Armah Page 47
Alagidede, P , Armah, S , Ofori, F & Amoah, L (2021). Ashesi Economics Lectures Series. Afribary. Retrieved from https://afribary.com/works/ashesi-economics-lectures-series
Alagidede, Paul et. al. "Ashesi Economics Lectures Series" Afribary. Afribary, 16 Apr. 2021, https://afribary.com/works/ashesi-economics-lectures-series. Accessed 24 Nov. 2024.
Alagidede, Paul, Stephen Armah , Frank Ofori and Lloyd Amoah . "Ashesi Economics Lectures Series". Afribary, Afribary, 16 Apr. 2021. Web. 24 Nov. 2024. < https://afribary.com/works/ashesi-economics-lectures-series >.
Alagidede, Paul , Armah, Stephen , Ofori, Frank and Amoah, Lloyd . "Ashesi Economics Lectures Series" Afribary (2021). Accessed November 24, 2024. https://afribary.com/works/ashesi-economics-lectures-series