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

Author

Listed:
  • Lester C Hunt

    (Surrey Energy Economics Centre (SEEC), Department of Economics, University of Surrey)

  • Yasushi Ninomiya

    (Surrey Energy Economics Centre (SEEC), Department 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.

Suggested Citation

  • Lester C Hunt & Yasushi Ninomiya, 2003. "Modelling Underlying Energy Demand Trends and Stochastic Seasonality: An Econometric Analysis of Transport Oil Demand in the UK and Japan," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) 107, Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey.
    • Handle: RePEc:sur:seedps:107
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    File URL: https://repec.som.surrey.ac.uk/seeds/SEEDS107.pdf
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    Cited by:

    1. Amarawickrama, Himanshu A. & Hunt, Lester C., 2008. "Electricity demand for Sri Lanka: A time series analysis," Energy, Elsevier, vol. 33(5), pages 724-739.

    More about this item

    Keywords

    energy demand; stochastic trend model; unobservable underling trend; seasonality.;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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