Long Memory in Milk Prices: Evidence from EU-15

Abstract In this paper we test for the presence of fractional integration, or long memory, in the monthly milk prices using ARFIMA(p,d,q) models. We consider data from 15 EU countries covering the period January 2001 to May 2008. The results suggest that twelve series show strong evidence of long memory. This indicates that shocks to the milk prices persist over a long period of time. We conclude that there is a high degree of predictability in the milk prices of EU-15