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 KumarORCID iD for Narayan, Paresh Kumar orcid.org/0000-0001-7934-8146
Liu, RuipengORCID iD for Liu, Ruipeng orcid.org/0000-0003-4174-6135
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
Structural break
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

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