This paper re-examines the empirical evidence for random walk type behavior in energy futures prices. In doing so, tests for unit roots in the univariate time-series representation of the daily crude oil, heating oil, and unleaded gasoline series are performed using recent state-of-the-art methodology. The results show that the unit root hypothesis can be rejected if allowance is made for the possibility of a one-time break in the intercept and the slope of the trend function at an unknown point in time.
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
1744.
Length: Date of creation: 1992 Date of revision: Publication status: Published in The Energy Journal 2.13(1992): pp. 119-128 Handle: RePEc:pra:mprapa:1744
Find related papers by JEL classification: P28 - Economic Systems - - Socialist Systems and Transition Economies - - - Natural Resources; Environment G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
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