An Analysis of Oil Production by OPEC Countries: Persistence, Breaks and Outliers

Barros, Carlos Pestana and Gil-Alana, Luis A. and Payne, James E. (2011) An Analysis of Oil Production by OPEC Countries: Persistence, Breaks and Outliers. Centre for EMEA Banking, Finance and Economics working paper series, 2011 (06). pp. 2-34.

[img]
Preview
Text
CentreforEMEABankingFinanceAndEconomicsWorking paperSeries No.06 11.pdf - Published Version

Download (371kB) | Preview
Official URL: http://www.londonmet.ac.uk/media/london-metropolit...

Abstract

This study examines the time series behaviour of oil production for OPEC member countries within a fractional integration modelling framework recognizing the potential for structural breaks and outliers. The analysis is undertaken using monthly data from January 1973 to October 2008 for 13 OPEC member countries. The results indicate there is mean reverting persistence in oil production with breaks identified in 10 out of the 13 countries examined. Thus, shocks affecting the structure of OPEC oil production will have persistent effects in the long run for all countries, and in some cases the effects are expected to be permanent.

Item Type: Article
Uncontrolled Keywords: Centre for EMEA Banking, Finance and Economics working paper series, oil production, OPEC, fractional integration, persistence; breaks and outliers
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: David Pester
Date Deposited: 17 Apr 2015 13:27
Last Modified: 17 Apr 2015 13:27
URI: http://repository.londonmet.ac.uk/id/eprint/402

Actions (login required)

View Item View Item