EconStor >
Humboldt-Universität zu Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >

Please use this identifier to cite or link to this item:
Title:A fractionally integrated model with a mean shift for the US and the UK real oil prices PDF Logo
Authors:Gil-Alaña, Luis A.
Issue Date:2000
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,68
Abstract:In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the series without a mean shift, they are both nonstationary I(1). However, allowing for a mean shift during the oil crises, they become fractionally integrated with an order of integration smaller than one and thus, showing mean reverting behaviour.
Subjects:long memory
fractional integration
mean shift
real oil prices
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10047944
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

Files in This Item:
File Description SizeFormat
723784949.pdf166.56 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.