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Nonlinearities and the order of integration of oil prices

Nonlinearities and the order of integration of oil prices
Nonlinearities and the order of integration of oil prices
Unit root tests are the starting point of most empirical time series research. This paper analyses the order of integration of oil prices taking into account the possibilities of nonlinearities in the deterministic components. Using an aggregate index for the price of oil, and applying Bierens (1997) unit root tests, we find that the hypothesis of a unit root process is rejected in favour of nonlinear trend stationarity of the price of crude oil. On the contrary, preliminary analysis using Ng and Perron (2001) and Kapetanios, Shin and Snell's (2003) tests, fail to reject the hypothesis of a unit root.
1681-8997
193-202
Regis, Paulo José
d696452e-72ef-48bc-9409-80996e297ca7
Cuestas, Juan Carlos
e21c853f-d345-45d1-9a3c-40ef510a1e5f
Regis, Paulo José
d696452e-72ef-48bc-9409-80996e297ca7
Cuestas, Juan Carlos
e21c853f-d345-45d1-9a3c-40ef510a1e5f

Regis, Paulo José and Cuestas, Juan Carlos (2010) Nonlinearities and the order of integration of oil prices. The Empirical Economics Letters, 9 (2), 193-202.

Record type: Article

Abstract

Unit root tests are the starting point of most empirical time series research. This paper analyses the order of integration of oil prices taking into account the possibilities of nonlinearities in the deterministic components. Using an aggregate index for the price of oil, and applying Bierens (1997) unit root tests, we find that the hypothesis of a unit root process is rejected in favour of nonlinear trend stationarity of the price of crude oil. On the contrary, preliminary analysis using Ng and Perron (2001) and Kapetanios, Shin and Snell's (2003) tests, fail to reject the hypothesis of a unit root.

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Published date: 1 February 2010

Identifiers

Local EPrints ID: 438891
URI: http://eprints.soton.ac.uk/id/eprint/438891
ISSN: 1681-8997
PURE UUID: c72579b6-7691-4181-b7d4-246472e60faf
ORCID for Paulo José Regis: ORCID iD orcid.org/0000-0002-3256-464X

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Date deposited: 26 Mar 2020 17:31
Last modified: 13 Dec 2021 03:33

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Contributors

Author: Juan Carlos Cuestas

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