Long memory and disaggregated energy consumption: Evidence from fossils, coal and electricity retail in the U.S.

► We examine the long memory properties of certain energy consumption U.S. series. ► We find that there is heterogeneity in the order of integration of these series. ► The order of integration is affected by the inclusion of a break event. ► It is generally higher for the case of a break in the intercept than in the slope.