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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.
Year of publication:
2014
Authors: Mishra, Vinod ; Smyth, Russell
Published in:
Energy Policy. - Elsevier, ISSN 0301-4215. - Vol. 69.2014, C, p. 258-262
Publisher: Elsevier
Subject: Natural gas | Unit root | Heteroskedasticity
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10010783801
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