Nonlinear Dynamics and Structural Change in the U.S. Hog—Corn Cycle: A Time-Varying STAR Approach

The linearity of the U.S. hog—corn cycle has been questioned by <xref ref-type="bibr" rid="R4">Chavas and Holt (1991)</xref>. Even so, attempts have not been made to model the potential nonlinear dynamics in the hog—corn cycle by using regime-switching models. One popular alternative is <xref ref-type="bibr" rid="R43">Teräsvirta's</xref> smooth transition autoregressive (STAR) model, which assumes regime switching is endogenous and potentially smooth. In this article, we examine monthly data for the U.S. hog—corn cycle, 1910–2004. A member of the STAR family, the time-varying STAR, is fitted to the data and its properties examined. We find evidence of nonlinearity, regime-dependent behavior, and time-varying parameter change. Copyright 2006, Oxford University Press.