Date of Graduation


Document Type


Degree Type



Davis College of Agriculture, Natural Resources and Design


Agricultural and Resource Economics

Committee Chair

Gerard E. D'Souza.


Traditionally, commodity prices have been analyzed and modeled in the context of linear generating processes. The purpose of this dissertation is to address the adequacy of this work through examination of the critical assumption of independence in the residual process of linearly specified models. As an alternative, a test procedure is developed and utilized to demonstrate the appropriateness of applying generalized conditional heteroscedastic time series models (GARCH) to agricultural commodity prices. In addition, a distinction is made between testing for independence and testing for chaos in commodity prices. The price series of interest derive from the major international agricultural commodity markets, sampled monthly over the period 1960--1994. The results of the present analysis suggest that for bananas, beef, coffee, soybeans, wool and wheat seasonally adjusted growth rates, ARCH-GARCH models account for some of the non-linear dependence in these commodity price series. As an alternative to the ARCH-GARCH models, several neural network models were estimated and in some cases outperformed the ARCH family of models in terms of forecast ability. This further demonstrated the nonlinearity present in these time series. Although, further examination is needed, all prices were found to be non-linearly dependent. It was determined by use of different statistical measures for testing for deterministic chaos that wheat prices may be an example of such behavior. Therefore, their may be something to be gained in terms of short-run forecast accuracy by using semi-parametric modeling approaches as applied to wheat prices.