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Competition and Prices in the Deregulated Gas Pipeline Network: A Multivariate Cointegration Analysis

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  • Walls, W. David

Abstract

This research uses multivariate cointegration analysis to assess the degree of competition in the U.S. natural gas industry following the move to open access pipeline transportation. The testing methodology allows multiple nodes in the pipeline network to be analyzed simultaneously and is based on recent advances by Johansen (1988, 1991) and Johansen and Juselius (1990) on estimation and hypothesis testing in multivariate cointegrated systems. Daily price data across the North American natural gas transmission grid are analyzed and the results indicate that the pattern of prices between production areas is consistent with allocative efficiency.

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Bibliographic Info

Paper provided by University of California Transportation Center in its series University of California Transportation Center, Working Papers with number qt9tg8v7zd.

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Date of creation: 01 Aug 1993
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Handle: RePEc:cdl:uctcwp:qt9tg8v7zd

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Keywords: Social and Behavioral Sciences;

References

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  1. James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  2. Bentzen, Jan & Engsted, Tom, 1993. "Short- and long-run elasticities in energy demand : A cointegration approach," Energy Economics, Elsevier, vol. 15(1), pages 9-16, January.
  3. Sims, Christopher A., 1988. "Bayesian skepticism on unit root econometrics," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 463-474.
  4. Arthur De Vany & W. David Walls, 1993. "Pipeline Access and Market Integration in the Natural Gas Industry: Evidence from Cointegration Tests," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 1-20.
  5. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  6. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  7. Walls, W. David, 1993. "A Cointegration Rank Test of Market Linkages with an Application to the U.S. Natural Gas Industry," University of California Transportation Center, Working Papers qt6sj0961h, University of California Transportation Center.
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