A unit root model for trending time-series energy variables
Data(s) |
01/07/2015
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Resumo |
In this paper, we propose a GARCH-based unit root test that is flexible enough to account for; (a) trending variables, (b) two endogenous structural breaks, and (c) heteroskedastic data series. Our proposed model is applied to a range of time-series, trending, and heteroskedastic energy variables. Our two main findings are: first, the proposed trend-based GARCH unit root model outperforms a GARCH model without trend; and, second, allowing for a time trend and two endogenous structural breaks are important in practice, for doing so allows us to reject the unit root null hypothesis. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30070735/narayan-unitrootmodel-2015.pdf http://www.dx.doi.org/10.1016/j.eneco.2014.11.021 |
Direitos |
2014, Elsevier |
Palavras-Chave | #Energy price #GARCH #Structural break #Trend #Unit root |
Tipo |
Journal Article |