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

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.

MoreLess

Year of publication:	2014-04
Authors:	Mishra, Vinod ; Smyth, Russell
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	Natural gas \| unit root \| heteroskedasticity

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Monash Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 09-14 20 pages
Classification:	Q40 - Energy. General ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010780717