FrançaisEnglish

Érudit | Dépôt de documents >
CIRANO - Centre interuniversitaire de recherche en analyse des organisations >
Cahiers scientifiques >

Please use this identifier to cite or link to this item:

https://depot.erudit.org/id/003432dd

Title: An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices
Authors: Beaulieu, Marie-Claude
Dufour, Jean-Marie
Khalaf, Lynda
Kichian, Maral
Issue Date: 2011-02
Publisher: Centre interuniversitaire de recherche en analyse des organisations (CIRANO)
Series/Report no.: Série scientifique (CIRANO);2011s-22
Scientific series (CIRANO);2011s-22
Abstract: We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample forecasts. In-sample LR tests support the TVP model for coal and gas but not for oil, though companion diagnostics suggest that the model is too restrictive to conclusively fit the data. Out-of-sample analysis suggests a randomwalk specification for oil price, and TVP models for both real-time forecasting in the case of gas and long-run forecasting in the case of coal
URI: http://www.cirano.qc.ca/pdf/publication/2011s-22.pdf
https://depot.erudit.org/id/003432dd
ISSN: 1198-8177
Appears in Collections:Cahiers scientifiques

Files in This Item:

2011s-22.pdf (Adobe PDF ; 556,36 kB)

Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

 

About Érudit | Subscriptions | RSS | Terms of Use | Contact us |

Consortium Érudit ©  2014