Are Oil Shocks Permanent or Temporary? Panel Data Evidence from Crude Oil Production in 15 Countries
In this paper we explore the unit root properties of crude oil production for 15 sampled countries employing the Lagrange Multiplier (LM) panel unit root test with (and without) one structural break for the period 1990-2017. In case of applying LM univariate test without a structural break, the results are ambiguous and inconclusive with moderate support for stationarity. The results of LM panel unit root test with a structural break are significant and conclusive, stating that for a sampled panel, crude oil production is stationary.
Keywords: crude oil, oil shock, unit root, panel analysis, Lagrange multiplier
JEL Classifications: C23, E23, Q43