Non-linear unit root properties of crude oil production
Svetlana Maslyuk and
Russell Smyth
Energy Economics, 2009, vol. 31, issue 1, 109-118
Abstract:
While there is good reason to expect crude oil production to be non-linear, previous studies that have examined the stochastic properties of crude oil production have assumed that crude oil production follows a linear process. If crude oil production is a non-linear process, conventional unit root tests, which assume linear and systematic adjustment, could interpret departure from linearity as permanent stochastic disturbances. The objective of this paper is to test for non-linearities and unit roots in crude oil production. To realize our objective, this study applies a threshold autoregressive model with an autoregressive unit root to monthly crude oil production for 17 OPEC and non-OPEC countries over the period January 1973 to December 2007. Specifically, first we test for the presence of non-linearities (threshold effects) in the production of crude oil in two regimes. Second, we test for a unit root against a non-linear stationary process in two regimes and a partial unit root process when the unit root is present in one regime only. We find that crude oil production is characterized by threshold effects. We find that for eleven of the countries a unit root was present in both regimes, while for the others a partial unit root was found to be present in either the first regime or second regime.
Keywords: Oil; production; Unit; root; Linearities (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140-9883(08)00152-7
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Non-Linear Unit Root Properties of Crude Oil Production (2007) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:31:y:2009:i:1:p:109-118
Access Statistics for this article
Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant
More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().