Abstract
his study examines the existence of long run relation between crude oil, natural gas and coal prices. Energy data for US is used and Based on the result of The Augmented Dickey-Fuller (ADF) tests, autoregressive distributed lag (ARDL) approach is adapted to cointegration analysis. Underlying ARDL model is specified in logarithmic form, so that the coefficients indicate the elasticities. Long run relationship and error correction model (ECM) are estimated for selected ARDL. Moreover, to confirm the stability of the model, CUSUM and CUSUMSQ tests are also conducted with the results that the estimated model is completely stable. The results confirm the existence of long run relation between coal, gas and oil prices. However, in short run gas prices have no effects on the oil prices as its coefficient is insignificant.
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