Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/82736 
Year of Publication: 
2006
Series/Report no.: 
Working Paper No. 2006:11
Publisher: 
Uppsala University, Department of Economics, Uppsala
Abstract: 
This paper investigates the time-series properties of the price of iron ore. The focus is on testing a unit-root null hypothesis against a trend-stationary alternative, with a structural break allowed under both hypotheses. We consider unit-root tests with or without structural breaks, applied on historical prices of five different qualities of Swedish and Brazilian iron ore. New and more accurate critical values for the exogenous-break tests are calculated, and several of the asymptotic tests are accompanied by their bootstrap counterparts due to the limited sample sizes. Using unit-root tests allowing for an exogenous structural break in 1973, the null hypothesis of a unit root is rejected for three of the five series. The sign and nature of the estimated breaks correspond to the state of the iron and steel industry during the first half of the 1970s. The bootstrap tests give results close to those from the asymptotic ones.
Subjects: 
iron-ore prices
structural break
unit-root test
bootstrap
JEL: 
C15
C22
Q30
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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