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The trend shared by these four electricity markets appears to be common also to gas prices, but not to oil prices. The existence of a common long\u2010term dynamics among electricity prices and between electricity prices and gas prices can be explained by the similarity of the market design across Europe and by the same marginal generation technology. Since standard unit root and cointegration tests are not robust to the peculiar characteristics of electricity prices time series, we also develop a battery of robust inference procedures that should assure the reliability of our results. Copyright \u00a9 2009 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1095","type":"journal-article","created":{"date-parts":[[2009,7,14]],"date-time":"2009-07-14T11:25:50Z","timestamp":1247570750000},"page":"805-832","source":"Crossref","is-referenced-by-count":93,"title":["Long\u2010run relations in European electricity prices"],"prefix":"10.1002","volume":"25","author":[{"given":"Bruno","family":"Bosco","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Lucia","family":"Parisio","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Matteo","family":"Pelagatti","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Fabio","family":"Baldi","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2010,6,20]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938229"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10108-004-0089-z"},{"key":"e_1_2_11_4_1","volume-title":"The Role of Power Exchanges for the Creation of a Single European Electricity Market: Market Design and Market Regulation","author":"Boisselau F","year":"2004"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11294-007-9105-z"},{"key":"e_1_2_11_6_1","unstructured":"BoswijkPH.2000.Testing for a unit root with near\u2010integrated volatility. 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