The authors test the statistical significance of Pindyck’s (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices. The models postulate meanreverting prices with continuous and random changes in their level and trend, and are estimated using...

We consider an empirical estimation of the environmental Kuznets curve (EKC) for carbon dioxide and sulphur, with a focus on confidence set estimation of the tipping point. Various econometric—parametric and nonparametric—methods are considered, reflecting the implications of persistence,...

We consider an empirical estimation of the Environmental Kuznets Curve (EKC) for carbon dioxide and sulphur, with a focus on confidence set estimation of the tipping point. Various econometric – parametric and nonparametric – methods are considered, reflecting the implications of...

This paper considers finite sample motivated inference methods in dynamic energy demand models, in which case commonly used econometric methods remain asymptotic. We focus on structural stability, and on exact confidence set estimation of elasticities. We account for intractable and nuisance...

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literatures. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size...

Empirical research on oil price dynamics for modeling and forecasting purposes has brought forth several unsettled issues. Indeed, statistical support is claimed for various models of price paths, yet many of the competing models differ importantly with respect to their fundamental temporal...

In examining stochastic models for commodity prices, central questions often revolve around time-varying trend, stochastic convenience yield and volatility, and mean reversion. This paper seeks to assess and compare alternative approaches to modelling these effects, with focus on forecast...

Fluctuations in the prices of various natural resource products are of concern in both policy and business circles; hence, it is important to develop accurate price forecasts. Structural models provide valuable insights into the causes of price movements, but they are not necessarily the best...