Econometric Modeling for Oil Sectors Stock Prices Time Series Data

Balamurugan D.; Manikandan B.; Rajarathinam A.

doi:10.37591/rrjost.v7i2.205

Abstract

This study examines the dynamic relationships of stock oil prices of different Indian oil sectors viz., Bharat Petroleum, Hindustan Oil Corporation and Oil and Natural Gas Corporation based on the different econometric models. Empirical result shows that the monthly oil prices are non-stationary and integrated of order one. Johanson procedure to test for the possibility of co-integration relationships result shows that there is no co-integration relationship. Since the variables are not co-integrated the unrestricted, VAR model has been employed. Lag of order four has been selected as per the order selection criteria. VAR(4) model results are interpreted. Keywords: Units root tests, Granger causality test, Johansen co-integration test, Vector of Auto-regression (VAR)Cite this ArticleBalamurugan D, Manikandan B, Rajarathinam A. Econometric Modeling for Oil Sectors Stock Prices Time Series Data. Research & Reviews: Journal of Statistics. 2018; 7(2): 27–34p.