Cointegration and ARDL specification between the Dubai crude oil and the US natural gas market
迪拜原油与美国天然气市场的协整关系及 ARDL 设定
This paper examines the relationship between the price of the Dubai crude oil and the price of the US natural gas using an updated monthly dataset from 1992 to 2018, incorporating the latter events in the energy markets. After employing a variety of unit root and cointegration tests, the long-run relationship is examined via the autoregressive distributed lag (ARDL) cointegration technique, along with the Toda-Yamamoto (1995) causality test. Our results indicate that there…