2019•International Journal of Recent Technology and Engineering (IJRTE)Open access

Auto Regressive Distributed Lag Model for Crude Oil (Brent) and Crude Oil (WTI)

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Abstract

It has been found through various literatures that Crude Oil (Brent) and Crude Oil (WTI) series moves in close proximity. This paper tries to examine the causality relationship between Crude Oil(WTI) and Crude Oil(Brent). In absence of cointegration between the two series Auto Regressive Distributed Lag Model was used.

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Key concepts: Brent Crude, West Texas Intermediate, Crude oil, Distributed lag, Cointegration, Autoregressive model, Series (stratigraphy), Econometrics