Modelling Underlying Energy Demand Trends and Stochastic Seasonality: An Econometric Analysis of Transport Oil Demand in the UK and Japan

Lester Hunt and Yasushi Ninomiya
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Yasushi Ninomiya: Surrey Energy Economics Centre (SEEC), Department of Economics, University of Surrey

No 107, Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) from Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey

Abstract: This paper demonstrates the importance of adequately modelling the Underlying Energy Demand Trend (UEDT) and seasonality when estimating transportation oil demand for the UK and Japan. The structural time series model is therefore employed to allow for a stochastic underlying trend and stochastic seasonals using quarterly data from the early 1970s, for both the UK and Japan. It is found that the stochastic seasonals are preferred to the conventional deterministic dummies and, more importantly, the UEDT is found to be highly nonlinear for both countries, with periods where it is both upward and downward sloping.

Keywords: energy demand; stochastic trend model; unobservable underling trend; seasonality. (search for similar items in EconPapers)
JEL-codes: C51 Q41 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2003-02
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in The Energy Journal, 24(3), 2003, pp. 63-96. (Revised Version with different title)

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Persistent link: https://EconPapers.repec.org/RePEc:sur:seedps:107

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