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A fractionally integrated model with a mean shift for the US and the UK real oil prices

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Author Info
Gil-Alana, Luis A.

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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 18 (2001)
Issue (Month): 4 (December)
Pages: 643-658
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Handle: RePEc:eee:ecmode:v:18:y:2001:i:4:p:643-658

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  1. Chevillon, Guillaume & Rifflart, Christine, 2007. "Physical Market Determinants of the Price of Crude Oil and the Market Premium," ESSEC Working Papers DR 07020, ESSEC Research Center, ESSEC Business School. [Downloadable!]
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  2. Luis Alberiko Gil-Alana, . "Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inf," Faculty Working Papers 19/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  3. Luis Alberiko Gil-Alana, . "Structural Change and the Order of Integration in Univariate Time Series," Faculty Working Papers 20/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    Other versions:
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