This paper investigates whether real commodity prices for six major primary goods can be characterized by a unit root process and nonlinearities. An unconstrained two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that terms of trade for agricultural, mineral, non-tropical, and non-oil goods, are nonlinear processes that are characterized by a unit root process. Additionally, we found evidence supporting the Prebisch-Singer hypothesis for mineral and tropical goods.
