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

Vinod Mishra; Russell Leigh Smyth

doi:10.1016/j.enpol.2014.03.033

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

Vinod Mishra, Russell Leigh Smyth

Department of Economics

Research output: Contribution to journal › Article › Research › peer-review

37 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 language	English
Pages (from-to)	258 - 262
Number of pages	5
Journal	Energy Policy
Volume	69
DOIs	https://doi.org/10.1016/j.enpol.2014.03.033
Publication status	Published - 2014

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10.1016/j.enpol.2014.03.033

Cite this

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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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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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