Nonlinearity and fractional integration in the world crude oil prices
ENERGY SOURCES PART B-ECONOMICS PLANNING AND POLICY, cilt.11, sa.2, ss.103-110, 2016 (SCI-Expanded, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 11 Sayı: 2
- Basım Tarihi: 2016
- Doi Numarası: 10.1080/15567249.2011.610429
- Dergi Adı: ENERGY SOURCES PART B-ECONOMICS PLANNING AND POLICY
- Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
- Sayfa Sayıları: ss.103-110
- İstanbul Üniversitesi Adresli: Evet
Özet
This article investigates the time-series behavior of the world crude oil prices over the period from January 1997 to May 2011 by taking into account nonlinearity and fractional integration in the same framework. As a first step, the author examines the nonlinear behavior of the data through the estimation of a two-regime threshold autoregressive model and find that world crude oil prices exhibit a nonlinear behavior. After finding nonlinearity, the author also allows disturbances to be fractionally integrated. The results point to a stationary process with long memory.