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dc.contributor.authorBarros, Carlos Pestanaen_US
dc.contributor.authorCaporale, Guglielmo Mariaen_US
dc.contributor.authorGil-Alana, Luis A.en_US
dc.date.accessioned2012-09-26en_US
dc.date.accessioned2012-10-11T15:55:34Z-
dc.date.available2012-10-11T15:55:34Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/64842-
dc.description.abstractThis study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken using monthly data from January 2000 to August 2011. The results suggest nonstationary long memory in the series (with orders of integration equal to or higher than 1) when breaks are not allowed for. However, endogenous break tests indicate a single break in all series except for producer prices for lignite for which two breaks are detected. When such breaks are taken into account, and with autocorrelated disturbances, evidence of mean reversion is found in practically all cases.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo Working Paper: Energy and Climate Economics 3935en_US
dc.subject.jelC32en_US
dc.subject.jelE30en_US
dc.subject.ddc330en_US
dc.subject.keywordenergy pricesen_US
dc.subject.keywordGermanyen_US
dc.subject.keywordfractional integrationen_US
dc.subject.keywordpersistenceen_US
dc.subject.keywordbreaks and outliersen_US
dc.subject.stwEnergiepreisen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwSchätzungen_US
dc.subject.stwDeutschlanden_US
dc.titleLong memory in German energy price indicesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn726462381en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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