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Non-renewable Resource Prices: Structural Breaks and Long Term Trends

Sharma, Abhijit and Balcombe, Kelvin and Fraser, Iain (2009): Non-renewable Resource Prices: Structural Breaks and Long Term Trends. Published in: Economics Bulletin , Vol. 29, No. 2 (3. May 2009): pp. 821-835.

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Abstract

In this paper we examine the time series properties of nine non-renewable resources. In particular we are concerned with understanding the relationship between the number of structural breaks in the data and the nature of the resource price path, i.e. is it stationary or a random walk. To undertake our analysis we employ a number of relevant econometric methods including Bai and Perron's (1998) multiple structural break dating method. Our results indicate that these series are in many cases stationary and subject to a number of structural breaks. These results indicate that a deterministic model of resources prices may well be appropriate.

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