Saturday, 22 October 2011: 4:55 PM
This paper implements the LM unit root tests with one and two structural breaks to investigate the random walk hypothesis for 12 commodity prices namely gold, silver, platinum, steel, copper, uranium, aluminum, iron ore, lead, nickel, tin, and zinc. The data consist of monthly observations spanning the time period January 1986 through December 2010. The preliminary results indicate that the commodity prices are unit root processes. These results imply that the community prices are characterized by a random walk.