期刊名称：Discussion Paper Series / Department of Economics, Monash University
出版年度：2007
卷号：1
出版社：Monash University
摘要：In this paper we examine whether WTI and Brent crude oil spot and futures prices (at one, three and
six months to maturity) contain a unit root with one and two structural breaks, employing weekly
data over the period 1991-2004. To realize this objective we employ Lagrange Multiplier (LM) unit
root tests with one and two endogenous structural breaks proposed by Lee and Stazicich (2003,
2004). We find that each of the oil price series can be characterized as a random walk process and
that the endogenous structural breaks are significant and meaningful in terms of events that have
impacted on world oil markets.
