The dynamics of crude oil price differentials
We model crude oil price differentials as a two-regime threshold autoregressive (TAR) process using Caner and Hansen’s (2001) method. While standard unit root tests, such as the Augmented Dickey–Fuller (ADF), are inconclusive in some instances on whether oil price differentials follow a stationary p...
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| Format: | Working paper |
| Language: | English |
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Oxford Institute for Energy Studies
2008
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