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Is Monthly US Natural Gas Consumption Stationary? New Evidence from a GARCH Unit Root Test with Structural Breaks

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  • Vinod Mishra
  • Russell Smyth

Abstract

We apply a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks to United States monthly natural gas consumption. We find that United States monthly natural gas consumption is stationary. Our results illustrate the importance of accounting for heteroskedasticity when testing for a unit root in energy consumption with higher frequency data.

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File URL: http://www.buseco.monash.edu.au/eco/research/papers/2014/0914monthlymishrasmyth.pdf
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Bibliographic Info

Paper provided by Monash University, Department of Economics in its series Monash Economics Working Papers with number 09-14.

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Length: 20 pages
Date of creation: Apr 2014
Date of revision:
Handle: RePEc:mos:moswps:2014-09

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Postal: Department of Economics, Monash University, Victoria 3800, Australia
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Keywords: Natural gas; unit root; heteroskedasticity;

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Cited by:
  1. Vinod Mishra & Russell Smyth, 2014. "Unit root properties of natural gas spot and futures prices: The relevance of heteroskedasticity in high frequency data," Development Research Unit Working Paper Series 20-14, Monash University, Department of Economics.
  2. Paresh Narayan & Russell Smyth, 2014. "Applied Econometrics and a Decade of Energy Economics Research," Development Research Unit Working Paper Series 21-14, Monash University, Department of Economics.

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