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Hotelling Rules: Oscillatory Versus Quadratic Trends in Natural Resource Prices

Listed author(s):
  • Antonios Antypas
  • Phoebe Koundouri
  • Nikolaos Kourogenis

A model is introduced for the description of natural resources�price paths, which, in contrast to the existing literature, captures non-linear trends by means of a simple trigonometric function. This model is then compared by means of a set of model selection criteria with a quadratic trend model and with a more general one that nests both models. All models are estimated on the price series of eleven major natural resources. In most cases, the trigonometric trend model is selected as the one better �tting the data, providing evidence against the long-run increase of the corresponding natural resource real prices, with interesting policy implications.

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File URL: http://www.lse.ac.uk/GranthamInstitute/wp-content/uploads/2014/02/WP126-Hotelling-rules-oscillatory-versus-quadratic-trends-in-natural-resource-prices.pdf
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Paper provided by Grantham Research Institute on Climate Change and the Environment in its series GRI Working Papers with number 126.

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Date of creation: Aug 2013
Handle: RePEc:lsg:lsgwps:wp126
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  1. 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.
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  10. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
  11. 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.
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  13. Mueller, Michael J. & Gorin, Daniel R., 1985. "Informative trends in natural resource commodity prices: A comment on slade," Journal of Environmental Economics and Management, Elsevier, vol. 12(1), pages 89-95, March.
  14. 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.
  15. 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.
  16. Margaret E. Slade & Henry Thille, 1997. "Hotelling Confronts CAPM: A Test of the Theory of Exhaustible Resources," Canadian Journal of Economics, Canadian Economics Association, vol. 30(3), pages 685-708, August.
  17. Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
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