Is monthly US natural gas consumption stationary? New evidence from a GARCH unit root test with structural breaks

被引：32

作者：

Mishra, Vinod ^{[1
]}

Smyth, Russell ^{[1
]}

机构：

[1] Monash Univ, Dept Econ, Clayton, Vic 3800, Australia

来源：

ENERGY POLICY | 2014年 / 69卷

关键词：

Natural gas; Unit root; Heteroskedasticity; ENERGY-CONSUMPTION; OIL PRICE; INTEGRATION PROPERTIES; NULL HYPOTHESIS; PERMANENT; SHOCKS; TEMPORARY; FLUCTUATIONS; VOLATILITY; LEVEL;

D O I：

10.1016/j.enpol.2014.03.033

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2014 Elsevier Ltd. All rights reserved.

引用

页码：258 / 262

页数：5

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