This article re-examines the persistence in natural gas consumption using an alternative methodology. In particular we report estimates of an unobserved components model, in which hysteresis exists if cyclical and natural gas consumptions do not evolve independently. In addition, this framework is also extended by using the nonlinear approach, in which nonlinearities are introduced by allowing past cyclical component to have a different impact on the natural component depending on the regime. In a linear framework our results seem to indicate that hysteresis does not exist. However, when nonlinearity is taken into account, we provide evidence in favor of hysteresis in natural gas consumption when the variations in natural gas consumption are above the threshold value. We also selectively survey the empirical literature that examines the long-term properties of energy series in order to put our contribution in perspective. (C) 2012 Elsevier Ltd. All rights reserved.