Non-Linear Unit Root Properties of Crude Oil Production

Svetlana Maslyuk and Russell Smyth

No 39-07, Monash Economics Working Papers from Monash University, Department of Economics

Abstract: While there is good reason to expect crude oil production to be non-linear, previous studies that have examined the stochastic properties of crude oil production have assumed that crude oil production follows a linear process. If crude oil production is a non-linear process, conventional unit root tests, which assume linear and systematic adjustment, could interpret departure from linearity as permanent stochastic disturbances. The objective of this paper is to test for non-linearities and unit roots in crude oil production. To realize our objective, this study applies a threshold autoregressive model with an autoregressive unit root to monthly crude oil production levels for 16 OPEC and non-OPEC countries over the period January 1973 to December 2006. Specifically, first we test for the presence of non-linearities (threshold effects) in the production of crude oil in two regimes. Second, we test for a unit root against a non-linear stationary process in two regimes and a partial unit root process when the unit root is present in one regime only. We find that crude oil production is characterized by threshold effects. We find that for ten of the countries a unit root was present in both regimes, while for the others a partial unit root was found to be present in either the first regime or second regime.

Keywords: Oil production; unit root; linearities. (search for similar items in EconPapers)
JEL-codes: C20 C50 Q43 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2007
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
http://www.buseco.monash.edu.au/eco/research/paper ... nearmaslyuksmyth.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://www.buseco.monash.edu.au/eco/research/papers/2007/3907nonlinearmaslyuksmyth.pdf [301 Moved Permanently]--> https://www.monash.edu/business/ [301 Moved Permanently]--> https://www.monash.edu/business)

Related works:
Journal Article: Non-linear unit root properties of crude oil production (2009)
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:mos:moswps:2007-39

Ordering information: This working paper can be ordered from
https://www.monash.e ... esearch/publications

Access Statistics for this paper

More papers in Monash Economics Working Papers from Monash University, Department of Economics Department of Economics, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Simon Angus ().