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

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22 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)258 - 262
Number of pages5
JournalEnergy Policy
Volume69
DOIs
Publication statusPublished - 2014

Cite this

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title = "Is monthly US natural gas consumption stationary? New evidence from a GARCH unit root test with structural breaks",
abstract = "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.",
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Is monthly US natural gas consumption stationary? New evidence from a GARCH unit root test with structural breaks. / Mishra, Vinod; Smyth, Russell Leigh.

In: Energy Policy, Vol. 69, 2014, p. 258 - 262.

Research output: Contribution to journalArticleResearchpeer-review

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AU - Smyth, Russell Leigh

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AB - 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.

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DO - 10.1016/j.enpol.2014.03.033

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EP - 262

JO - Energy Policy

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SN - 0301-4215

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