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dc.contributor.authorBarros, Carlos Pestanaen
dc.contributor.authorCaporale, Guglielmo Mariaen
dc.contributor.authorGil-Alana, Luis A.en
dc.date.accessioned2012-09-26-
dc.date.accessioned2012-10-11T15:55:34Z-
dc.date.available2012-10-11T15:55:34Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3935en
dc.subject.jelC32en
dc.subject.jelE30en
dc.subject.ddc330en
dc.subject.keywordenergy pricesen
dc.subject.keywordGermanyen
dc.subject.keywordfractional integrationen
dc.subject.keywordpersistenceen
dc.subject.keywordbreaks and outliersen
dc.subject.stwEnergiepreisen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwSchätzungen
dc.subject.stwDeutschlanden
dc.titleLong memory in German energy price indices-
dc.typeWorking Paperen
dc.identifier.ppn726462381en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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