Nonlinear dynamics of pork price in China

This paper primarily analyzes the evolution path of China's pork price by employing the threshold autoregression model (TAR). Considering the unit root test with a threshold effect and heteroskedasticity of the TAR model, we show that the pork price series is a unit root process in each regime, and the heteroskedasticity in the TAR model greatly affects the results of linearity test. We find that the changing process of pork price has two regimes: mild regime and expansion regime. In particular, a change belongs to an expansion regime if it is larger than 0.5881; otherwise, it falls in the mild regime.