TY - JOUR
T1 - Are oil shocks permanent or temporary? Panel data evidence from crude oil and NGL production in 60 countries
AU - Narayan, Paresh Kumar
AU - Narayan, Seema Wati Dhar
AU - Smyth, Russell Leigh
PY - 2008
Y1 - 2008
N2 - This paper examines the unit root properties of crude oil production for 60 countries employing a range of panel data unit root tests for the period 1971 to 2003. The study first employs a number of panel data tests that do not accommodate structural breaks and then proceeds to apply the Lagrange Multiplier (LM) panel unit root test with one structural break. The results of the panel data tests without a structural break are inconclusive with at best mixed support for joint stationarity. The findings from the LM panel unit root test with a structural break, however, are conclusive, suggesting that for a world panel and smaller regional-based panels, crude oil and NGL production are jointly stationary.
AB - This paper examines the unit root properties of crude oil production for 60 countries employing a range of panel data unit root tests for the period 1971 to 2003. The study first employs a number of panel data tests that do not accommodate structural breaks and then proceeds to apply the Lagrange Multiplier (LM) panel unit root test with one structural break. The results of the panel data tests without a structural break are inconclusive with at best mixed support for joint stationarity. The findings from the LM panel unit root test with a structural break, however, are conclusive, suggesting that for a world panel and smaller regional-based panels, crude oil and NGL production are jointly stationary.
KW - Crude oil
KW - Panel unit root
UR - http://www.scopus.com/inward/record.url?scp=38049081105&partnerID=8YFLogxK
U2 - 10.1016/j.eneco.2007.07.005
DO - 10.1016/j.eneco.2007.07.005
M3 - Article
SN - 0140-9883
VL - 30
SP - 919
EP - 936
JO - Energy Economics
JF - Energy Economics
IS - 3
ER -