Modelling Evolving Long-Run Relationships: An Application to the Italian Energy Market
This paper considers a SUTSE model embedded in a dynamic framework to estimate an energy cost share model for the Italian economy in an evolving environment. This is achieved by allowing stochastic seasonal and trend components in the long-run specification and constructing an error correction mechanism to model short-run dynamics. Modelling instability in the structural time series approach is shown to be a very flexible approach to non conventional cointegration analysis. Tests for instability in the cointegrating regression support the evolving specification adopted. Copyright 2000 by Scottish Economic Society.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 47 (2000)
Issue (Month): 1 (February)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0036-9292|
More information through EDIRC
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0036-9292|