Modelling Evolving Long‐run Relationships: An Application to the Italian Energy Market

Claudio Morana

Scottish Journal of Political Economy, 2000, vol. 47, issue 1, 72-93

Abstract: This paper considers a SUTSE model embedded in a dynamic framework to estimate an energy cost share model for the Italian economy in an evolving environment. This is achieved by allowing stochastic seasonal and trend components in the long‐run specification and constructing an error correction mechanism to model short‐run dynamics. Modelling instability in the structural time series approach is shown to be a very flexible approach to non conventional cointegration analysis. Tests for instability in the cointegrating regression support the evolving specification adopted.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://doi.org/10.1111/1467-9485.00154

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:scotjp:v:47:y:2000:i:1:p:72-93

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0036-9292

Access Statistics for this article

Scottish Journal of Political Economy is currently edited by Tim Barmby, Andrew Hughes-Hallett and Campbell Leith

More articles in Scottish Journal of Political Economy from Scottish Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().