Unit root behavior in energy futures prices

Apostolos Serletis

MPRA Paper from University Library of Munich, Germany

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: Futures; Energy; Unit Roots (search for similar items in EconPapers)
JEL-codes: C22 G13 P28 (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (27)

Published in The Energy Journal 2.13(1992): pp. 119-128

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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)
Journal Article: Unit Root Behavior in Energy Futures Prices* (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:1744

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