@article{Forecasting:939,
      recid = {939},
      author = {Bernard, Jean-Thomas and Khalaf, Lynda and Kichian, Maral},
      title = {Structural Change and Forecasting Long-Run Energy Prices},
      publisher = {Bank of Canada},
      address = {2004},
      pages = {1 online resource (v, 19 pages)},
      abstract = {The authors test the statistical significance of Pindyck's  (1999) suggested class of econometric equations that model  the behaviour of long-run real energy prices. The models  postulate mean-reverting prices with continuous and random  changes in their level and trend, and are estimated using  Kalman filtering. In such contexts, test statistics are  typically non-standard and depend on nuisance parameters.  The authors use simulation-based procedures to address this  issue; namely, a standard Monte Carlo test and a maximized  Monte Carlo test. They find statistically significant  instabilities for coal and natural gas prices, but not for  crude oil prices. Out-of-sample forecasts are calculated to  differentiate between significant models.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/939},
      doi = {https://doi.org/10.34989/swp-2004-5},
}