Oil Production in OPEC Countries: A Fractional Integration Study

Abstract

This paper investigates the structure of oil production in the OPEC by using techniques based on fractional integration. This analysis permits us to determine if exogenous shocks affecting the series will have transitory or permanent effects. The results show evidence reversion to the mean (and thus transitory shocks) for Ecuador, Qatar, Algeria, Nigeria, Iraq and the U.A.E., and lack of it (and thus permanency of shocks) for Arabia Saudi and Angola. For the remaining five countries (Gabon, Kuwait, Iran, Libya and Venezuela) the results are ambiguous depending on the specification of the error term. Allowing for structural breaks, we notice that most of the countries display about four breaks and the orders of integration change substantially across the countries and the subsamples.