Is Monthly US Natural Gas Consumption Stationary? New Evidence from a GARCH Unit Root Test with Structural Breaks

Vinod Mishra and Russell Smyth

No 09-14, Monash Economics Working Papers from Monash University, Department of Economics

Abstract: We apply a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks to United States monthly natural gas consumption. We find that United States monthly natural gas consumption is stationary. Our results illustrate the importance of accounting for heteroskedasticity when testing for a unit root in energy consumption with higher frequency data.

Keywords: Natural gas; unit root; heteroskedasticity (search for similar items in EconPapers)
JEL-codes: C22 Q40 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2014-04
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (31)

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Journal Article: Is monthly US natural gas consumption stationary? New evidence from a GARCH unit root test with structural breaks (2014)
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