Is monthly US natural gas consumption stationary? New evidence from a GARCH unit root test with structural breaks

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• 作者：Vinod Mishra ; Russell Smyth¹ ; ^{russell.smyth@monash.edu" class="auth_mail}
• 关键词：Natural gas ; Unit root ; Heteroskedasticity
• 刊名：Energy Policy
• 出版年：June, 2014
• 年：2014
• 卷：69
• 期：Complete
• 页码：258-262
• 全文大小：664 K

文摘

We apply a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks to United States monthly natural gas consumption. We find that United States monthly natural gas consumption is stationary. Our results illustrate the importance of accounting for heteroskedasticity when testing for a unit root in energy consumption with higher frequency data.