Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62183
Authors: 
Gil-Alaña, Luis A.
Year of Publication: 
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
JEL: 
C22
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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