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A fractionally integrated model with a mean shift for the US and the UK real oil prices

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.

Language: Englisch

Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 2000,68

Classification: Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

Subject: long memory
fractional integration
mean shift
real oil prices

Event: Geistige Schöpfung

(who): Gil-Alaña, Luis A.

Event: Veröffentlichung

(who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

(where): Berlin

(when): 2000

Handle: http://hdl.handle.net/10419/62183

URN: urn:nbn:de:kobv:11-10047944

Last update: 20.09.2024, 8:21 AM CEST

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Object type

Arbeitspapier

Associated

Gil-Alaña, Luis A.
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Time of origin

2000

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A fractionally integrated model with a mean shift for the US and the UK real oil prices

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Other Objects (12)

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