An analysis of the OPEC and non-OPEC position in the World Oil Market: A fractionally integrated approach

Luis Gil-Alana, Yadollah Dadgar and Rouhollah Nazari

Physica A: Statistical Mechanics and its Applications, 2020, vol. 541, issue C

Abstract: This paper deals with the analysis of the world, OPEC and non-OPEC oil production by testing the degree of persistence of the series throughout fractional integration. The analysis is relevant in the sense that it allows us to determine if shocks in the series have permanent or transitory effects. The results indicate evidence of mean reversion in the three series, especially for the world and OPEC production. We also notice evidence of multiple breaks though the degree of persistence seems to be relatively stable across the subsamples, with most of the values in the range [0.5, 1) implying non-stationary and mean reverting behavior.

Keywords: OPEC; Non-OPEC; Oil production; Fractional integration (search for similar items in EconPapers)
JEL-codes: C22 Q43 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:541:y:2020:i:c:s037843711932062x

DOI: 10.1016/j.physa.2019.123705

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