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Book/Printed Material Nonrenewable resource prices deterministic or stochastic trends?

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Title

  • Nonrenewable resource prices deterministic or stochastic trends?

Summary

  • "In this paper we examine temporal properties of eleven natural resource real price series from 1870-1990 by employing a Lagrangian Multiplier unit root test that allows for two endogenously determined structural breaks with and without a quadratic trend. Contrary to previous research, we find evidence against the unit root hypothesis for all price series. Our findings support characterizing natural resource prices as stationary around deterministic trends with structural breaks. This result is important in both a positive and normative sense. For example, without an appropriate understanding of the dynamics of a time series, empirical verification of theories, forecasting, and proper inference are potentially fruitless. More generally, we show that both pre-testing for unit roots with breaks and allowing for breaks in the forecast model can improve forecast accuracy"--National Bureau of Economic Research web site.

Names

  • Lee, Junsoo, 1967-
  • List, John A., 1968-
  • National Bureau of Economic Research

Created / Published

  • Cambridge, MA : National Bureau of Economic Research, c2005.

Headings

  • -  Natural resources--Prices
  • -  Nonrenewable natural resources
  • -  Stochastic analysis
  • -  Time-series analysis

Notes

  • -  Title from PDF file as viewed on 7/22/2005.
  • -  Includes bibliographical references.
  • -  Also available in print.
  • -  Mode of access: World Wide Web.
  • -  System requirements: Adobe Acrobat Reader.

Call Number/Physical Location

  • HB1

Digital Id

Library of Congress Control Number

  • 2005618447

Access Advisory

  • Unrestricted online access

Online Format

  • image
  • pdf

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Citations are generated automatically from bibliographic data as a convenience, and may not be complete or accurate.

Chicago citation style:

Lee, Junsoo, John A List, and National Bureau Of Economic Research. Nonrenewable Resource Prices Deterministic or Stochastic Trends?. Cambridge, MA: National Bureau of Economic Research, 2005. Pdf. https://www.loc.gov/item/2005618447/.

APA citation style:

Lee, J., List, J. A. & National Bureau Of Economic Research. (2005) Nonrenewable Resource Prices Deterministic or Stochastic Trends?. Cambridge, MA: National Bureau of Economic Research. [Pdf] Retrieved from the Library of Congress, https://www.loc.gov/item/2005618447/.

MLA citation style:

Lee, Junsoo, John A List, and National Bureau Of Economic Research. Nonrenewable Resource Prices Deterministic or Stochastic Trends?. Cambridge, MA: National Bureau of Economic Research, 2005. Pdf. Retrieved from the Library of Congress, <www.loc.gov/item/2005618447/>.