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Finite sample inference methods for dynamic energy demand models

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Author Info
Jean-Thomas Bernard (Holder of the Chair on the Economics of Electric Energy; Groupe de recherche en économie de l'énergie, de l'environnement et des ressources naturelles [GREEN], Université Laval. Mailing address: Pavillon J.-A.-De Sève, Ste-Foy, Québec, Canada, G1K 7P4)
Nadhem Idoudi (Conseiller Coûts et caractéristiques de la consommation, Direction des Affaires réglementaires et tarifaires, Hydro-Québec Distribution, and Groupe de recherche en économie de l'énergie, de l'environnement et des ressources naturelles [GREEN], Université Laval. Mailing address: 75, boul. René-Lévesque ouest, 2e étage, Montréal, (Québec) H2Z 1A4)
Lynda Khalaf (Holder of the Canada Research Chair in Environment; Centre interuniversitaire de recherche en économie quantitative (CIREQ) and Economics Department, Carleton University, Loeb Building 1125 Colonel By Drive, Ottawa, Ont., Canada K1S 5B6)
Clément Yélou (Département d'économique, Groupe de recherché en économie de l'énergie, de l'environement et des ressources naturelles [GREEN], and Centre de recherche en économie agroalimentaire (CRÉA), Université Laval. Jean-Talon Building, B-5, Statistics Canada, 170 Tunney's Pasture Driveway, Ottawa ON K1A 0T6)

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Abstract

This paper considers finite sample motivated inference methods in dynamic energy demand models, in which case commonly used econometric methods remain asymptotic. We focus on structural stability, and on exact confidence set estimation of elasticities. We account for intractable and nuisance parameter dependant distributions through Monte Carlo test procedures. For long-run elasticities which depend on parameter ratios, we assess available asymptotic and exact methods with Fieller based alternatives. Fieller based and exact methods invert approximate and exact relevant test criteria (respectively) and may lead to unbounded set estimates. Our empirical results underscore the importance of using identification-robust inference methods. Copyright © 2007 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/jae.996
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File URL: http://qed.econ.queensu.ca:80/jae/2007-v22.7/
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 22 (2007)
Issue (Month): 7 ()
Pages: 1211-1226
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Handle: RePEc:jae:japmet:v:22:y:2007:i:7:p:1211-1226

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January. [Downloadable!] (restricted)
  2. Kiviet, Jan F. & Dufour, Jean-Marie, 1997. "Exact tests in single equation autoregressive distributed lag models," Journal of Econometrics, Elsevier, vol. 80(2), pages 325-353, October. [Downloadable!] (restricted)
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  3. Savin, N.E., 1984. "Multiple hypothesis testing," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 14, pages 827-879 Elsevier. [Downloadable!] (restricted)
  4. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-29, October.
  5. Dunstan, Roger H. & Schmidt, Ronald H., 1988. "Structural changes in residential energy demand," Energy Economics, Elsevier, vol. 10(3), pages 206-212, July. [Downloadable!] (restricted)
  6. Dermot Gately & Hiliard G. Huntington, 2002. "The Asymmetric Effects of Changes in Price and Income on Energy and Oil Demand," The Energy Journal, International Association for Energy Economics, vol. 23(1), pages 19-56.
  7. Jean-Marie Dufour & Jan F. Kiviet, 1998. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, vol. 66(1), pages 79-104, January.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. J. G. Hirschberg, J. N. Lye & D. J. Slottje, 2008. "Confidence Intervals for Estimates of Elasticities," Department of Economics - Working Papers Series 1053, The University of Melbourne. [Downloadable!]
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