Abstract
ABSTRACTThis article investigates the time-series behavior of the world crude oil prices over the period from January 1997 to May 2011 by taking into account nonlinearity and fractional integration in the same framework. As a first step, the author examines the nonlinear behavior of the data through the estimation of a two-regime threshold autoregressive model and find that world crude oil prices exhibit a nonlinear behavior. After finding nonlinearity, the author also allows disturbances to be fractionally integrated. The results point to a stationary process with long memory.
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