A fractionally integrated model with a mean shift for the US and the UK real oil prices |
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Authors: | Luis A Gil-Alana |
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Institution: | a Humboldt Universität zu Berlin, Institut für Statistik und Ökonometrie, Berlin, Germany;b University of Navarre, Department of Economics, Pamplona, Spain |
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Abstract: | In this article, we have modeled the log of the US and the UK real oil prices in terms of fractionally integrated processes with a mean shift. We used different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicated that if we model the series without a mean shift, then they are both non-stationary I(1). However, by including a mean shift component during the oil crises, they become fractionally integrated with an order of integration smaller than one and, thus, showing mean reverting behavior. |
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Keywords: | Fractional integration Long memory Mean shift Real oil prices |
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