Template-Type: ReDIF-Paper 1.0
Author-Name: Juan Carlos Cuestas
Author-Name: Paulo Jose Regis
Title: Nonlinearities and the order of integration of oil prices
Abstract: Unit root tests are the starting point of most empirical time series research.
This paper analyses the order of integration of oil prices taking into account the possibilities of nonlinearities in the deterministic components. Using an aggregate
index for the price of oil, and applying Bierens (1997) unit root tests, we find
that the hypothesis of a unit root process is rejected in favour of nonlinear trend
stationarity of the price of crude oil. On the contrary, preliminary analysis using
Ng and Perron (2001) and Kapetanios, Shin and Snell's (2003) tests, fail to reject
the hypothesis of a unit root.
File-URL: http://www.ntu.ac.uk/__data/assets/pdf_file/0020/311609/non-linearities-order-integration-oil-prices.pdf
File-Format: Application/pdf
File-Function: First version, 2008
Creation-Date: 2008-09
Classification-JEL: C22, E39, Q43
Keywords: Unit roots, Nonlinearities, Oil price
Handle: RePEc:nbs:wpaper:2008/15