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A revival of the autoregressive distributed lag model in estimating energy demand relationships

Abstract

The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distribution lag (ARDL) model in estimating energy demand relationships. However, Pesaran and Shin (1997) show that the ARDL model remains valid when the underlying variables are non-stationary, provided the variables are co-integrated. In this paper we use the ARDL approach to estimate a demand relationship for Danish residential energy consumption, and the ARDL estimates are compared to the estimates obtained using co-integration techniques and error-correction models (ECM's). It turns out that both quantitatively and qualitatively, the ARDL approach and the co-integration/ECM approach give very similar results. (au)
Publication Date:
Jul 01, 1999
Product Type:
Technical Report
Report Number:
NEI-DK-3587
Reference Number:
EDB-00:075703
Resource Relation:
Other Information: 18 refs.; PBD: 1999; Related Information: Working paper, 99-7
Subject:
29 ENERGY PLANNING, POLICY AND ECONOMY; ENERGY DEMAND; ENERGY CONSUMPTION; MATHEMATICAL MODELS; REGRESSION ANALYSIS
OSTI ID:
20004043
Research Organizations:
Handelshoejskolen i Aarhus (Denmark). Nationaloekonomisk Inst.
Country of Origin:
Denmark
Language:
English
Other Identifying Numbers:
Other: ISSN 1397-4831; TRN: DK9901917
Availability:
Available to ETDE participating countries only(see www.etde.org); commercial reproduction prohibited; OSTI as DE20004043
Submitting Site:
DK
Size:
15 pages
Announcement Date:

Citation Formats

Bentzen, J, and Engsted, T. A revival of the autoregressive distributed lag model in estimating energy demand relationships. Denmark: N. p., 1999. Web.
Bentzen, J, & Engsted, T. A revival of the autoregressive distributed lag model in estimating energy demand relationships. Denmark.
Bentzen, J, and Engsted, T. 1999. "A revival of the autoregressive distributed lag model in estimating energy demand relationships." Denmark.
@misc{etde_20004043,
title = {A revival of the autoregressive distributed lag model in estimating energy demand relationships}
author = {Bentzen, J, and Engsted, T}
abstractNote = {The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distribution lag (ARDL) model in estimating energy demand relationships. However, Pesaran and Shin (1997) show that the ARDL model remains valid when the underlying variables are non-stationary, provided the variables are co-integrated. In this paper we use the ARDL approach to estimate a demand relationship for Danish residential energy consumption, and the ARDL estimates are compared to the estimates obtained using co-integration techniques and error-correction models (ECM's). It turns out that both quantitatively and qualitatively, the ARDL approach and the co-integration/ECM approach give very similar results. (au)}
place = {Denmark}
year = {1999}
month = {Jul}
}