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The North American Natural Gas Liquids Markets are Chaotic

  • Serletis, A.
  • Gogas, P.

In this paper we test for deterministic chaos(i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas hydrocarbon markets, using monthly data from 1985:1 to 1996:12 -- the markets are those of ethane, propane, normal butane, iso-butane, naphta, crude oil, and natural gas. In doing so, we use the Lyapunov exponent estimator of Nychka, Ellner, Gallant and McCaffrey (1992). We conclude that there is evidence consistent with chaotic nonlinear generation process in all five natural gas liquids markets.

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Paper provided by Calgary - Department of Economics in its series Papers with number 98-10.

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Length: 16 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:calgar:98-10
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