Structural Change and Forecasting Long-Run Energy Prices
AbstractThe authors test the statistical significance of Pindyck’s (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices. The models postulate meanreverting prices with continuous and random changes in their level and trend, and are estimated using Kalman filtering. In such contexts, test statistics are typically non-standard and depend on nuisance parameters. The authors use simulation-based procedures to address this issue; namely, a standard Monte Carlo test and a maximized Monte Carlo test. They find statistically significant instabilities for coal and natural gas prices, but not for crude oil prices. Out-of-sample forecasts are calculated to differentiate between significant models.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 04-5.
Length: 28 pages
Date of creation: 2004
Date of revision:
Contact details of provider:
Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
Phone: 613 782-8845
Fax: 613 782-8874
Web page: http://www.bank-banque-canada.ca/
Econometric and statistical methods;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-02-23 (All new papers)
- NEP-COM-2004-02-23 (Industrial Competition)
- NEP-ETS-2004-02-23 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hamilton, James D., 2003.
"What is an oil shock?,"
Journal of Econometrics,
Elsevier, vol. 113(2), pages 363-398, April.
- Saphores, J.D. & Khalaf, L. & Pelletier, D., 2000.
"On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests,"
00-03, Laval - Recherche en Energie.
- Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis, 2000. "On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Cahiers de recherche 0003, GREEN.
- Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis, 2000. "On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Cahiers de recherche 0003, Université Laval - Département d'économique.
- Robert A. Amano & Simon van Norden, 1995.
"Exchange Rates and Oil Prices,"
- Robert S. Pindyck, 1999.
"The Long-Run Evolutions of Energy Prices,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 2), pages 1-27.
- Donald W. K. Andrews, 2000. "Inconsistency of the Bootstrap when a Parameter Is on the Boundary of the Parameter Space," Econometrica, Econometric Society, vol. 68(2), pages 399-406, March.
- Hansen, Bruce E, 1996.
"Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis,"
Econometric Society, vol. 64(2), pages 413-30, March.
- Tom Doan, . "RATS programs to replicate Hansen's threshold estimation and testing results," Statistical Software Components RTZ00091, Boston College Department of Economics.
- Tom Doan, . "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.
- Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
- Marwan Chacra, 2002. "Oil-Price Shocks and Retail Energy Prices in Canada," Working Papers 02-38, Bank of Canada.
- Kim, Chang-Jin & Nelson, Charles R, 1989. "The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 433-40, October.
- DUFOUR, Jean-Marie & FARHAT, Abdeljelil & GARDIOL, Lucien, 1998.
"Simulation-Based Finite-Sample Normality Tests in Linear Regressions,"
Cahiers de recherche
9811, Universite de Montreal, Departement de sciences economiques.
- Jean-Marie Dufour & Abdeljelil Farhat & Lucien Gardiol & Lynda Khalaf, 1998. "Simulation-based finite sample normality tests in linear regressions," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C154-C173.
- Zellner Arnold, 2002. "My Experiences with Nonlinear Dynamic Models in Economics," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(2), pages 1-18, July.
- Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
- Stanislav Radchenko, 2005. "The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend," Econometrics 0502002, EconWPA.
- Khalaf, Lynda & Kichian, Maral, 2005. "Exact tests of the stability of the Phillips curve: the Canadian case," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 445-460, April.
- Zhang, Xun & Yu, Lean & Wang, Shouyang & Lai, Kin Keung, 2009. "Estimating the impact of extreme events on crude oil price: An EMD-based event analysis method," Energy Economics, Elsevier, vol. 31(5), pages 768-778, September.
- Massimiliano Serati & Gianni Amisano, 2008. "Building composite leading indexes in a dynamic factor model framework: a new proposal," LIUC Papers in Economics 212, Cattaneo University (LIUC).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.