Template-Type: ReDIF-Article 1.0
Author-Name:  Apostolos Serletis
Title:  Unit Root Behavior in Energy Futures Prices
Classification-JEL: F0
Pages:  119-128
Volume:  Volume 13
Issue:  Number 2
Year:  1992
Abstract:  This paper re-examines the empirical evidence for random walk type behavior in energy futures prices. In doing so, tests for unit roots in the univariate time-series representation of the daily crude oil, heating oil, and unleaded gasoline series are performed using recent state-of-the-art methodology. The results show that the unit root hypothesis can be rejected if allowance is made for the possibility of a one-time break in the intercept and the slope of the trend function at an unknown point in time.
Handle: RePEc:aen:journl:1992v13-02-a06
File-URL: http://www.iaee.org/en/publications/ejarticle.aspx?id=1069
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