EFFECT OF ECONOMIC CHANGES ON TIME SERIES MODELLING AND TESTING OF BREAD WHEAT PRICES

The paper deals with the analysis of structural changes in the agricultural prices of bread wheat in the Czech Republic in the period 1996–2010 and explores the connection between those changes and changes in the economic and institutional environments. Furthermore, their effect on the results of selected unit root tests is examined herein. The results indicate a statistically significant structural change in July and August of 2008. No other significant change was found in the analyzed period, even in the year 2004 when the Czech Republic became a member of the EU. Despite this fact, there is evidence that prices of bread wheat are affected by the EU open market, because the significant increase in prices in 2008 was caused by international circumstances such as a record-breaking decrease in the stocks of the EU countries and a steeply increasing demand in the global market. The results also indicate that in the case of testing bread wheat prices, for a correct evaluation of integration order it is necessary to use, in addition to the Augmented Dickey-Fuller test, also other tests of stationarity; similarly, analysis of the Chow test results throughout the entire period is necessary.