Structural Change and Forecasting Long-Run Energy Prices

Jean-Thomas Bernard (), Lynda Khalaf and Maral Kichian

Staff Working Papers from Bank of Canada

Abstract: The authors test the statistical significance of Pindyck’s (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices. The models postulate meanreverting prices with continuous and random changes in their level and trend, and are estimated using Kalman filtering. In such contexts, test statistics are typically non-standard and depend on nuisance parameters. The authors use simulation-based procedures to address this issue; namely, a standard Monte Carlo test and a maximized Monte Carlo test. They find statistically significant instabilities for coal and natural gas prices, but not for crude oil prices. Out-of-sample forecasts are calculated to differentiate between significant models.

Keywords: Econometric; and; statistical; methods (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 Q40 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2004
New Economics Papers: this item is included in nep-com and nep-ets
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Citations: View citations in EconPapers (5)

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