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Is Monthly US Natural Gas Consumption Stationary? New Evidence from a GARCH Unit Root Test with Structural Breaks

Author

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  • Vinod Mishra
  • Russell Smyth

Abstract

We apply a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks to United States monthly natural gas consumption. We find that United States monthly natural gas consumption is stationary. Our results illustrate the importance of accounting for heteroskedasticity when testing for a unit root in energy consumption with higher frequency data.

Suggested Citation

  • Vinod Mishra & Russell Smyth, 2014. "Is Monthly US Natural Gas Consumption Stationary? New Evidence from a GARCH Unit Root Test with Structural Breaks," Monash Economics Working Papers 09-14, Monash University, Department of Economics.
    • Handle: RePEc:mos:moswps:2014-09
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    File URL: http://www.buseco.monash.edu.au/eco/research/papers/2014/0914monthlymishrasmyth.pdf
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    JEL classification:

    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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