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Stationarity Changes in Long-Run Fossil Resource Prices Evidence from Persistence Break Testing Stationarity Changes in Long-Run Fossil Resource Prices: Evidence from Persistence Break Testing
This paper considers the question of whether changes in persistence have occurred during the long-run evolution of U.S. prices of the non-renewable energy resources crude oil, natural gas and bituminous coal. Our main contribution is to allow for a structural break when testing for a break in persistence, thus disentangling the effect of a deterministic break from that of a stochastic break and advancing the existing literature on the persistence properties of non-renewable resource prices. Thefatcat:me5qru75dfg3hiztwfiygyoocu