This study analyzes the degree of time persistence in United States energy prices (natural gas, crude oil, and bituminous coal) using innovative fractional integration models. Annual price data from 1919 to 2006 are used for natural gas and from 1870 to 2006 for crude oil and bituminous coal. The results indicate that energy prices are explained in terms of a long memory model that incorporates persistence components with autocorrelation. The degree of integration is above 1 for natural gas prices, around 1 for coal prices, but significantly below 1 for oil prices. These results are verified for parametric and nonparametric methods and a single break in the data is found in 1973 for natural gas and oil prices and in 1945 for coal prices.