EconPapers    
Economics at your fingertips  
 

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

Abstract: 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)
Date: 1999
References: Add references at CitEc
Citations View citations in EconPapers (15) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: A revival of the autoregressive distributed lag model in estimating energy demand relationships (2001) Downloads
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:fth:aascbu:99-7

Access Statistics for this paper

More papers in Working Papers from Aarhus School of Business - Department of Economics Department of Economics, Faculty of Business Administration. The Aarhus School of Business. Fuglesangs Alle 4. DK- 8210 Aarhus V - Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().

 
Page updated 2018-08-22
Handle: RePEc:fth:aascbu:99-7