Unit root behavior in energy futures prices
This paper re-examines the empirical evidence for random walk type behavior in energy futures prices. In doing so, tests for unit roots in the univariate time-series representation of the daily crude oil, heating oil, and unleaded gasoline series are performed using recent state-of-the-art methodology. The results show that the unit root hypothesis can be rejected if allowance is made for the possibility of a one-time break in the intercept and the slope of the trend function at an unknown point in time.
|Date of creation:||1992|
|Date of revision:|
|Publication status:||Published in The Energy Journal 2.13(1992): pp. 119-128|
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Web page: http://mpra.ub.uni-muenchen.de
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