Date of Award

2014

Publisher

North Dakota State University

Document Type

Thesis

Degree Awarded

Master of Science (MS)

Program

Agribusiness and Applied Economics

Department

Agribusiness and Applied Economics

College

Agriculture, Food Systems and Natural Resources

Faculty Advisor

Miljkovic, Dragan

Description

This thesis analyzes demand in the US energy market for natural gas, oil, and coal over the period of 1918-2013 and examines their price relationship over the period of 2007-2013. Diagnostic tests for time series were used; Augmented Dickey-Fuller, Kwiatkowski–Phillips–Schmidt–Shin, Johansen cointegration, Granger Causality and weak exogeneity tests. Directed acyclic graphs were used as a complimentary test for endogeneity. Due to the varied results in determining endogeneity, a seemingly unrelated regression model was used which assumes all right hand side variables in the three demand equations were exogenous. A number of factors were significant in determining demand for natural gas including its own price, lagged demand, a number of structural break dummies, and trend, while oil indicate some substitutability with natural gas. An error correction model was used to examine the price relationships. Natural gas price was found not to have a significant cointegrating vector.

Rights

NDSU policy 190.6.2

Rights Link

https://www.ndsu.edu/fileadmin/policy/190.pdf

Handle Identifier

https://hdl.handle.net/10365/27361

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