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In\u2010sample LR tests support the TVP model for coal and gas but not for oil, though companion diagnostics suggest that the model is too restrictive to conclusively fit the data. Out\u2010of\u2010sample analysis suggests a random\u2010walk specification for oil price, and TVP models for both real\u2010time forecasting in the case of gas and long\u2010run forecasting in the case of coal. Copyright \u00a9 2010 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1213","type":"journal-article","created":{"date-parts":[[2010,11,22]],"date-time":"2010-11-22T11:11:29Z","timestamp":1290424289000},"page":"603-624","source":"Crossref","is-referenced-by-count":11,"title":["An identification\u2010robust test for time\u2010varying parameters in the dynamics of energy prices"],"prefix":"10.1002","volume":"27","author":[{"given":"Jean\u2010Thomas","family":"Bernard","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jean\u2010Marie","family":"Dufour","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Lynda","family":"Khalaf","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Maral","family":"Kichian","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2010,11,22]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1006\/jeem.1996.0980"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1159"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00114"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00210"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1257\/0895330042632708"},{"key":"e_1_2_9_7_1","first-page":"122","article-title":"Natural resource prices: will they ever turn up?","volume":"9","author":"Berck P","year":"1996","journal-title":"Journal of Environmental Economics and Management"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2007.02.004"},{"key":"e_1_2_9_9_1","doi-asserted-by":"crossref","unstructured":"ClarkTE McCrackenMW.2009.Averaging forecasts from vars with uncertain instabilities. 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