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Detecting break in oil price series using the Box-Tiao method

Ali Akarca () and Dimitri Andrianacos

International Advances in Economic Research, 1997, vol. 3, issue 2, 217-224

Abstract: This paper presents an Autoregressive Integrated Moving Average procedure which allows one to test a time series for a structural break at an unknown point in time. It is a variation of the Box-Tiao method designed to test for a structural break due to an intervention at a known time. Applying the procedure to the crude oil market, we were able to statistically show the existence of a structural break in the oil price series and to pinpoint the month during which it took place, January 1986. The results also underscore the need for testing the stability of models estimated using oil price data covering both sides of the structural break and may assist those who study the political events of the period. Copyright International Atlantic Economic Society 1997

Date: 1997
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DOI: 10.1007/BF02294942

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