2005-09-29Buch DOI: 10.18452/3389
A Fractionally Integrated Model with a Mean Shift for the U.S. and the U.K. Real Oil Prices
Gil-Alaña, Luis A.
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.
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