Abstract
This paper investigates whether shocks to copper consumption for 37 countries over the period 1967–2010 are transitory or persistent. A variety of time-series unit root tests is first employed. This is followed by several generations of panel data unit root tests. The presence of structural breaks is taken into account while performing those tests. In addition, cross-sectional dependence is detected and effectively controlled when applying some new generations of panel unit root tests. Copper consumption is found to follow a non-stationary process for about 86 % of the countries. There is also overwhelming evidence of a similar process when panel unit root tests are applied. Generally, shocks to copper consumption are found to be persistent.
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Notes
The forecasts and forecast standard errors tend to differ between stationary and non-stationary series. In particular, forecast standard errors will become very large for more distant forecast periods if the series is non-stationary.
Myers (1946) discusses the various implications of adopting mineral conservation policies especially for the USA.
From the mineral prices perspective, using time-series techniques, Narayan and Lui (2011) inspect the impacts of shocks on ten commodity prices (gold, silver, platinum, copper, aluminium, iron ore, lead, nickel, tin, and zinc). They find shocks to be persistent for gold, silver, platinum, aluminium, and copper.
No single-panel unit root test is devoid of statistical shortcomings in terms of size and power properties. It is hence practical to perform several tests to determine the order of integration of the longitudinal data. It is also a proper means to shed light on the limitations and strengths of each of these tests.
Detailed results of the pairwise correlations are available upon request.
The Chang–Song test statistics for ta c , ta h , ta a , tm c , tm h and tm a are 2.446, −0.422, −0.222, −2.159, −1.363 and −1.799, respectively. Each test statistic can be compared to the 1, 5 and 10 % significance levels with the one-sided critical values of −2.326, −1.645 and −1.282 for the average test while these are −3.402, −2.928 and −2.696 for minimum test (N = 30), respectively. These statistics provide strong evidence of a non-stationarity process.
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Acknowledgments
I would like to thank Thomas F. Rutherford, Massimo Filippini, Robert Lundmark and two anonymous referees for their comments and suggestions. Errors, if any, are the author's own.
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Jaunky, V.C. Are shocks to copper consumption persistent?. Miner Econ 26, 29–38 (2013). https://doi.org/10.1007/s13563-013-0034-4
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DOI: https://doi.org/10.1007/s13563-013-0034-4