IDEAS home Printed from https://ideas.repec.org/a/ebl/ecbull/eb-09-00247.html
   My bibliography  Save this article

Non-renewable resource prices: Structural breaks and long term trends

Author

Listed:
  • Abhijit Sharma

    () (Bradford University School of Management)

  • Kelvin G Balcombe

    () (University of Reading)

  • Iain M Fraser

    () (University of Kent)

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.

Suggested Citation

  • Abhijit Sharma & Kelvin G Balcombe & Iain M Fraser, 2009. "Non-renewable resource prices: Structural breaks and long term trends," Economics Bulletin, AccessEcon, vol. 29(2), pages 805-819.
  • Handle: RePEc:ebl:ecbull:eb-09-00247
    as

    Download full text from publisher

    File URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I2-P31.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    2. Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 769-801, December.
    3. Bai, Jushan, 1997. "Estimating Multiple Breaks One at a Time," Econometric Theory, Cambridge University Press, vol. 13(03), pages 315-352, June.
    4. John Livernois & Henry Thille & Xianqiang Zhang, 2006. "A test of the Hotelling rule using old-growth timber data," Canadian Journal of Economics, Canadian Economics Association, vol. 39(1), pages 163-186, February.
    5. Berck, Peter & Roberts, Michael, 1996. "Natural Resource Prices: Will They Ever Turn Up?," Journal of Environmental Economics and Management, Elsevier, vol. 31(1), pages 65-78, July.
    6. Leisch, Friedrich & Hornik, Kurt & Kuan, Chung-Ming, 2000. "Monitoring Structural Changes With The Generalized Fluctuation Test," Econometric Theory, Cambridge University Press, vol. 16(06), pages 835-854, December.
    7. Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2002. "strucchange: An R Package for Testing for Structural Change in Linear Regression Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 7(i02).
    8. Lee, Junsoo & List, John A. & Strazicich, Mark C., 2006. "Non-renewable resource prices: Deterministic or stochastic trends?," Journal of Environmental Economics and Management, Elsevier, vol. 51(3), pages 354-370, May.
    9. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
    10. Cees Withagen, 1998. "Untested Hypotheses in Non-Renewable Resource Economics," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 11(3), pages 623-634, April.
    11. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2001. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1-8.
    12. Svedberg, Peter & Tilton, John E., 2006. "The real, real price of nonrenewable resources: copper 1870-2000," World Development, Elsevier, vol. 34(3), pages 501-519, March.
    13. Ahrens, W. Ashley & Sharma, Vijaya R., 1997. "Trends in Natural Resource Commodity Prices: Deterministic or Stochastic?," Journal of Environmental Economics and Management, Elsevier, vol. 33(1), pages 59-74, May.
    14. Radetzki, Marian, 2006. "The anatomy of three commodity booms," Resources Policy, Elsevier, vol. 31(1), pages 56-64, March.
    15. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    16. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
    17. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    18. Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003. "Testing and dating of structural changes in practice," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 109-123, October.
    19. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
    20. Robert Cairns & Graham Davis, 2005. "Rejecting the Hotelling Valuation Principle," Empirical Economics, Springer, vol. 30(2), pages 473-478, September.
    21. Junsoo Lee & Mark C. Strazicich, 2013. "Minimum LM unit root test with one structural break," Economics Bulletin, AccessEcon, vol. 33(4), pages 2483-2492.
    22. Smith, V Kerry, 1979. "Natural Resource Scarcity: A Statistical Analysis," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 423-427, August.
    23. Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-1369, November.
    24. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    25. Slade, Margaret E., 1982. "Trends in natural-resource commodity prices: An analysis of the time domain," Journal of Environmental Economics and Management, Elsevier, vol. 9(2), pages 122-137, June.
    26. Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-1065, September.
    27. Jeffrey A. Krautkraemer, 1998. "Nonrenewable Resource Scarcity," Journal of Economic Literature, American Economic Association, vol. 36(4), pages 2065-2107, December.
    28. Margaret E. Slade & Henry Thille, 2006. "Commodity Spot Prices: An Exploratory Assessment of Market Structure and Forward-Trading Effects," Economica, London School of Economics and Political Science, vol. 73(290), pages 229-256, May.
    29. Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989. "A new test for structural stability in the linear regression model," Journal of Econometrics, Elsevier, vol. 40(2), pages 307-318, February.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    JEL classification:

    • Q3 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-09-00247. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.