A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships
Jan Bentzen and
Tom Engsted ()
Working Papers from Aarhus School of Business - Department of Economics
The findings in the recent energy economic literature that energy economic variables are non-stationary, heve led to an implicit or explicit dismissal of the standard autoregressive distributed 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 cointegrated. In this paper we use the ARDL approach to estimated a demand relationship for Danish residential energy consumption, and the ARDL estimates are compared to the estimates obtained using cointegration techniques and error-correction models (ECMs). It turns out that both quantitavely and qualitatively, the ARDL approach and the cointegration/ECM approach give very similar results.
Keywords: ENERGY; ECONOMIC MODELS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C22 Q41 (search for similar items in EconPapers)
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Journal Article: A revival of the autoregressive distributed lag model in estimating energy demand relationships (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:aascbu:99-7
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