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Estimation and model selection in the case of time series. Application on natural gas production

Victor Platon (), Andreea Constantinescu () and Sorina Jurist
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Sorina Jurist: Institute of National Economy – Romanian Academy

Romanian Journal of Economics, 2021, vol. 52, issue 1(61), 33-49

Abstract: In 2021, natural gas price, extraction and distribution across EU became a key theme. The evolution of prices and quantities delivered are in the middle of a heated debate. On the one hand, there is a clear descending trend and, on the other hand, demand is up, pushing prices upward. In the last 10 years was noticed a steady decline in natural gas extracted both at EU level and in Romania. This tendency is typical for the new paradigm concerning energy policy oriented towards a cleaner power output. In these circumstances of prices volatility, it is useful to elaborate a consolidative model for natural gas production in Romania. One important advantage of this model would be to have a tool for better estimate of Romania's energy output. The methodology used several econometric models adapted to non-stationar time series suitable for natural gas production. By comparing the models, we end up selecting the most significant one, the one that showed improved forecast statistics. In this paper were envisaged several results: analysis of the volume of natural gas production; developing regression models for natural gas production in Romania; conclusions on most suitable econometric model for natural gas production in Romania.

Keywords: Econometric modelling; non-stationary time series; linear regression; autocorrelation of errors; AIC; Durbin – Watson statistic; natural gas production (search for similar items in EconPapers)
JEL-codes: C30 Q32 Q35 (search for similar items in EconPapers)
Date: 2021
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Handle: RePEc:ine:journl:v:52:y:2021:i:61:p:33-49