KSS unit root test of nonlinearity and nonstationarity in China’s agricultural futures markets

Unit root tests are the starting points of most economic time series analyses. Based on the nonlinear unit root test proposed by Kapetanios, Shin and Shell (KSS), this article propose a procedure to detect the presence of nonstationarity against nonlinear processes in 5 representative China’s agricultural futures markets. Our results illustrate that a unit root is rejected in favor of nonlinear trend stationary for these markets; therefore, the results in current literature based on the linear hypothesis may be spurious in understanding true market’s dynamics. We contribute to current literature in providing for the first time the empirical evidence of these facts in China’s agricultural futures markets, which is fundamentally important in relevant researches.