Munich Personal RePEc Archive

The Shocks To Crude Oil Production. Nonparametric Stationarity Analysis For 20 OPEC And Non-OPEC Countries

M.J., Presno and M., Landajo and P., Fernandez Gonzalez (2017): The Shocks To Crude Oil Production. Nonparametric Stationarity Analysis For 20 OPEC And Non-OPEC Countries.

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Abstract

The stochastic properties of crude oil production have been examined in the literature from different perspectives, with partly non-coincident conclusions depending on model specification. In this paper the nature of the shocks affecting crude oil production is analyzed for a panel of 20 OPEC and non-OPEC countries with reference to the period from January 1973 to December 2015. We rely on a novel nonparametric panel stationarity testing approach which offers the advantage of not requiring model specification of the trend functions for the series in the panel. Our analysis detects strong evidence of non-stationarity, both globally and group-wise for the OPEC and non-OPEC countries. A case-by-case study reveals that stationarity is rejected for 8 out of the countries under study (namely, Algeria, Canada, China, Iran, Mexico, Nigeria, Qatar, and the US) for which shocks would thus have permanent effects, with stationarity being relatively more frequent among OPEC members.

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