Modelling Underlying Energy Demand Trends and Stochastic Seasonality: An Econometric Analysis of Transport Oil Demand in the UK and Japan
AbstractThis 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.
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Bibliographic InfoPaper provided by Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey in its series Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) with number 107.
Length: 46 pages
Date of creation: Feb 2003
Date of revision:
Publication status: Published in The Energy Journal, 24(3), 2003, pp. 63-96. (Revised Version with different title)
energy demand; stochastic trend model; unobservable underling trend; seasonality.;
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