On the convergence of metals price – a series of Fourier DF unit root tests

ABSTRACT

We examine unit root hypothesis of industrial and precious metal prices through a battery of Fourier Dicky-Fuller unit root tests. By allowing double and fractional frequencies in trig functions, we find that 8 out of 10 metal prices are trend stationary. Policy implications are signified at last.

KEYWORDS:

• Metal prices
• Fourier Dicky-Fuller unit root test
• stationary
• frequency
• trig functions

JEL CLASSIFICATION:

• C22
• G14
• Q02

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

¹ There are other studies extending the traditional Dicky-Fuller unit root tests such as Yaya, Ogbonna, and Atoi (2019), Gil-Alana and Yaya (2021), Yaya et al. (2021).

² For more details, please refer to Cai and Omay (2022).