Non-renewable resource prices: A robust evaluation from the stationarity perspective

María José Presno, Manuel Landajo and Paula Fernández

Resource and Energy Economics, 2014, vol. 36, issue 2, 394-416

Abstract: The bulk of the literature investigating persistence properties of non-renewable resource prices series has focused on application of unit root tests. This paper contributes to the debate, applying a methodology which allows (1) robust detection of the presence and (if so) the number of changes, (2) inference on stationarity of the series, and (3) estimation of change locations. In contrast to previous papers, the analysis is carried out from the perspective of stationarity testing, incorporating quadratic trends and the possibility of smooth changes. For a classical database, we find significant evidence of trend stationarity in most of the series, suggesting that shocks are mostly of a transitory nature. Exceptions are silver and natural gas, with stationarity being rejected for all the specifications considered in the paper. Finally, the knowledge of the stochastic characteristics of the series allows robust detection of change points which appear to be related to economic events.

Keywords: Non-renewable resource prices; Structural changes; Sequential procedure; Stationarity testing (search for similar items in EconPapers)
JEL-codes: C12 C53 Q31 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0928765514000207
Full text for ScienceDirect subscribers only

Related works:
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:resene:v:36:y:2014:i:2:p:394-416

DOI: 10.1016/j.reseneeco.2014.01.003

Access Statistics for this article

Resource and Energy Economics is currently edited by J. F. Shogren and S. Smulders

More articles in Resource and Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().