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

Article, Preprint English OPEN
Pestana-Barros, C. (Carlos) ; Gil-Alana, L.A. (Luis A.) ; Payne, J.E. (James E.) (2011)
  • Publisher: Centre for EMEA Banking, Finance and Economics, London Metropolitan University
  • Subject: OPEC member countries | dewey330 | :Economía y Empresa [Materias Investigacion] | Oil production
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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.
  • References (2)

    Nelson, C.R. and C.I. Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series”, Journal of Monetary Economics, 10, 139-162.

    Schwarz, G. (1978), “Estimating the Dimension of a Model”, Annals of Statistics, 6, 461- 464.

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