We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample forecasts. In-sample LR tests support the...

This paper suggests Monte Carlo multiple test procedures which are provably valid in finite samples. These include combination methods originally proposed for independent statistics and further improvements which formalize statistical practice. We also adapt the Monte Carlo test method to...