Unit Root Behavior in Energy Futures Prices*

Apostolos Serletis

The Energy Journal, 1992, vol. 13, issue 2, 119-128

Abstract: This paper re-examines the empirical evidence for random walk type behavior in energy futures prices. In doing so, tests for unit roots in the univariate time-series representation of the daily crude oil, heating oil, and unleaded gasoline series are performed using recent state-of-the-art methodology. The results show that the unit root hypothesis can be rejected if allowance is made for the possibility of a one-time break in the intercept and the slope of the trend function at an unknown point in time.

Keywords: Energy futures prices; Unit root behavior; Oil; Gasoline (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (1)

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Related works:
Chapter: Unit Root Behavior in Energy Futures Prices (2007)
Journal Article: Unit Root Behavior in Energy Futures Prices (1992)
Working Paper: Unit root behavior in energy futures prices (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:sae:enejou:v:13:y:1992:i:2:p:119-128

DOI: 10.5547/ISSN0195-6574-EJ-Vol13-No2-6

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