Nonlinearities in Regional Rice Prices in the Philippines: Evidence from a Smooth Transition Autoregressive (STAR) Approach
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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.