Zusammenfassung:
This article is concerned with disequilibrium regime switching model to capture different regimes in the US gasoline markets. The purpose is to illustrate potential regimes in gasoline market. Following a suggestion in Hunter and Tabaghdehi (Cointegration and US regional gasoline prices: testing market efficiency from the stationarity of price proportions. Brunel University Working Paper, 13-03, 2013a), gasoline markets may not be efficient either across regions or within local markets. The Markov model may also be used as a benchmark to make comparison with other methods. The finding specifies that deviations from long-run equilibrium have an effect on gasoline price dynamics and captures two different regimes of supply and demand in this market.