ABSTRACT
We test for convergence in disaggregated petroleum consumption at the sector level for the United States using the recently proposed GARCH unit root test, suitable for high frequency data. We find evidence of convergence for just over half of the series, including total petroleum consumption in each sector and approximately three quarters of the disaggregated petroleum consumption series in transportation.
Acknowledgement
We thank Paresh Narayan for providing the GAUSS codes for the Narayan and Popp (2010) and Narayan, Liu, and Westerlund (2015) tests.
Disclosure statement
No potential conflict of interest was reported by the authors.
Notes
1 Other applications, the Narayan, Liu, and Westerlund (Citation2015) working paper, are to commodity and financial prices – Narayan and Liu (Citation2011) (commodity prices), Salisu and Fasanya (Citation2013) (oil prices), Salisu and Mobolaji (Citation2013) (exchange rates and oil prices), Lean and Smyth (Citation2015) (palm oil spot and futures prices) and Lean, Mishra, and Smyth (Citation2015) and Mishra, Mishra, and Smyth (Citation2015) (stock prices). Note that each of these studies apply earlier circulated versions of Narayan, Liu, and Westerlund (Citation2015). Specifically, they apply either Narayan and Liu (Citation2011) or a 2013 working paper in which Narayan and Liu were the only co-authors. (Westerlund only joined as a co-author in the latest version of the working paper).
2 Figures are as a proportion of delivered energy (excluding electricity-related losses).
3 There are a large number of studies that have applied the Narayan and Popp (Citation2010) test. A Google Scholar cited reference search suggests that as of November 2015, it has 104 citations. Applications in energy economics include Apergis and Payne (Citation2010), Lean and Smyth (Citation2015), Mishra and Smyth (Citation2014a, Citation2014b) and Narayan and Liu (Citation2011).
4 For details on the sequential procedure approach, refer to Narayan and Popp (Citation2010).
Narayan, P. K., and R. Liu. 2011. “Are Shocks to Commodity Prices Persistent?” Applied Energy 88: 409–416. doi:10.1016/j.apenergy.2010.07.032. Salisu, A. A., and I. O. Fasanya. 2013. “Modelling Oil Price Volatility with Structural Breaks.” Energy Policy 52: 554–562. doi:10.1016/j.enpol.2012.10.003. Salisu, A. A., and H. Mobolaji. 2013. “Modeling Returns and Volatility Transmission between Oil Price and US-Nigeria Exchange Rate.” Energy Economics 39: 169–176. doi:10.1016/j.eneco.2013.05.003. Lean, H. H., and R. Smyth. 2015. “Testing for Weak-Form Efficiency of Crude Palm Oil Spot and Future Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks.” Applied Economics 47: 1710–1721. doi:10.1080/00036846.2014.1002905. Lean, H. H., V. Mishra, and R. Smyth. 2015. “The Relevance of Heteroskedasticity and Structural Breaks When Testing for a Random Walk with High Frequency Financial Data: Evidence from ASEAN Stock Markets.” In Handbook of High Frequency Trading, edited by Gregoriou, G., 59–74. Amsterdam: Elsevier. Mishra, A., V. Mishra, and R. Smyth. 2015. “The Random Walk Hypothesis on the Indian Stock Market.” Emerging Markets, Finance and Trade 51 (5): 879–892. doi:10.1080/1540496X.2015.1061380. Narayan, P. K., R. Liu, and J. Westerlund. 2015. New Evidence on the Weak-Form Efficient Market Hypothesis. Working Paper, Deakin University: Centre for Financial Econometrics. Narayan, P. K., and R. Liu. 2011. “Are Shocks to Commodity Prices Persistent?” Applied Energy 88: 409–416. doi:10.1016/j.apenergy.2010.07.032. Narayan, P. K., and S. Popp. 2010. “A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time.” Journal of Applied Statistics 37: 1425–1438. doi:10.1080/02664760903039883. Apergis, N., and J. E. Payne. 2010. “Structural Breaks and Petroleum Consumption in US States: Are Shocks Transitory or Permanent?” Energy Policy 38: 6375–6378. doi:10.1016/j.enpol.2010.06.015. Lean, H. H., and R. Smyth. 2015. “Testing for Weak-Form Efficiency of Crude Palm Oil Spot and Future Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks.” Applied Economics 47: 1710–1721. doi:10.1080/00036846.2014.1002905. Mishra, V., and R. Smyth. 2014a. “Convergence in Energy Consumption per Capita among ASEAN Countries.” Energy Policy 73: 180–185. doi:10.1016/j.enpol.2014.06.006. Mishra, V., and R. Smyth. 2014b. “Is Monthly US Natural Gas Consumption Stationary? New Evidence from a GARCH Unit Root Test with Structural Breaks.” Energy Policy 69: 258–262. doi:10.1016/j.enpol.2014.03.033. Narayan, P. K., and R. Liu. 2011. “Are Shocks to Commodity Prices Persistent?” Applied Energy 88: 409–416. doi:10.1016/j.apenergy.2010.07.032. Narayan, P. K., and S. Popp. 2010. “A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time.” Journal of Applied Statistics 37: 1425–1438. doi:10.1080/02664760903039883.
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