Structural Change and Forecasting Long-Run Energy Prices
The authors test the statistical significance of Pindyck’s (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices. The models postulate meanreverting prices with continuous and random changes in their level and trend, and are estimated using Kalman filtering. In such contexts, test statistics are typically non-standard and depend on nuisance parameters. The authors use simulation-based procedures to address this issue; namely, a standard Monte Carlo test and a maximized Monte Carlo test. They find statistically significant instabilities for coal and natural gas prices, but not for crude oil prices. Out-of-sample forecasts are calculated to differentiate between significant models.
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- Pindyck, Robert S., 1998.
"The long-run evolution of energy prices,"
WP 4044-98., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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- Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis, 2000. "On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Cahiers de recherche 0003, GREEN.
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- Zellner Arnold, 2002. "My Experiences with Nonlinear Dynamic Models in Economics," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(2), pages 1-18, July.
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- Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
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