Is monthly US natural gas consumption stationary? New evidence from a GARCH unit root test with structural breaks

Vinod Mishra and Russell Smyth

Energy Policy, 2014, vol. 69, issue C, 258-262

Abstract: We apply a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks to United States monthly natural gas consumption. We find that United States monthly natural gas consumption is stationary. Our results illustrate the importance of accounting for heteroskedasticity when testing for a unit root in energy consumption with higher frequency data.

Keywords: Natural gas; Unit root; Heteroskedasticity (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (31)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:69:y:2014:i:c:p:258-262

DOI: 10.1016/j.enpol.2014.03.033

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