Is monthly US natural gas consumption stationary? New evidence from a GARCH unit root test with structural breaks

•Applies unit root tests to natural gas consumption.•Natural gas consumption is stationary.•Shocks to natural gas consumption result in temporary deviations from the long-run growth path.

We apply a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks to United States monthly natural gas consumption. We find that United States monthly natural gas consumption is stationary. Our results illustrate the importance of accounting for heteroskedasticity when testing for a unit root in energy consumption with higher frequency data.