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Non-renewable Resource Prices: Structural Breaks and Long Term Trends

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  • Sharma, Abhijit
  • Balcombe, Kelvin
  • Fraser, Iain

Abstract

In this paper we examine the time series properties of nine non-renewable resources. In particular we are concerned with understanding the relationship between the number of structural breaks in the data and the nature of the resource price path, i.e. is it stationary or a random walk. To undertake our analysis we employ a number of relevant econometric methods including Bai and Perron's (1998) multiple structural break dating method. Our results indicate that these series are in many cases stationary and subject to a number of structural breaks. These results indicate that a deterministic model of resources prices may well be appropriate.

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File URL: http://mpra.ub.uni-muenchen.de/16948/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 16948.

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Date of creation: May 2009
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Publication status: Published in Economics Bulletin 2.29(2009): pp. 821-835
Handle: RePEc:pra:mprapa:16948

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Keywords: structural change; non-renewable resources; breaks; resource depletion;

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  2. Bai, Jushan, 1997. "Estimating Multiple Breaks One at a Time," Econometric Theory, Cambridge University Press, vol. 13(03), pages 315-352, June.
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  25. Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-65, September.
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