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A unit root model for trending time-series energy variables

Narayan, Paresh Kumar and Liu, Ruipeng 2015, A unit root model for trending time-series energy variables, Energy economics, vol. 50, pp. 391-402, doi: 10.1016/j.eneco.2014.11.021.

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Title A unit root model for trending time-series energy variables
Author(s) Narayan, Paresh Kumar
Liu, Ruipeng
Journal name Energy economics
Volume number 50
Start page 391
End page 402
Total pages 12
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2015-07
ISSN 0140-9883
Keyword(s) Energy price
GARCH
Structural break
Trend
Unit root
Summary In this paper, we propose a GARCH-based unit root test that is flexible enough to account for; (a) trending variables, (b) two endogenous structural breaks, and (c) heteroskedastic data series. Our proposed model is applied to a range of time-series, trending, and heteroskedastic energy variables. Our two main findings are: first, the proposed trend-based GARCH unit root model outperforms a GARCH model without trend; and, second, allowing for a time trend and two endogenous structural breaks are important in practice, for doing so allows us to reject the unit root null hypothesis.
Language eng
DOI 10.1016/j.eneco.2014.11.021
Field of Research 150202 Financial Econometrics
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2014, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30070735

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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