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Modelling Evolving Long‐run Relationships: An Application to the Italian Energy Market

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  • Claudio Morana

Abstract

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.

Suggested Citation

  • Claudio Morana, 2000. "Modelling Evolving Long‐run Relationships: An Application to the Italian Energy Market," Scottish Journal of Political Economy, Scottish Economic Society, vol. 47(1), pages 72-93, February.
  • Handle: RePEc:bla:scotjp:v:47:y:2000:i:1:p:72-93
    DOI: 10.1111/1467-9485.00154
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    Cited by:

    1. Mu, Jianhong E. & McCarl, Bruce A. & Bessler, David A., 2013. "Impacts of BSE and Avian Influenza on U.S. Meat Demand," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150392, Agricultural and Applied Economics Association.
    2. David I. Stern, 2012. "Interfuel Substitution: A Meta‐Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 26(2), pages 307-331, April.
    3. SHIRANI-FAKHR, Zohreh & KHOSHAKHLAGH, Rahman & SHARIFI, Alimorad, 2015. "Estimating Demand Function For Electricity In Industrial Sector Of Iran Using Structural Time Series Model (Stsm)," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 15(1), pages 143-160.
    4. Hunt, Lester C. & Judge, Guy & Ninomiya, Yasushi, 2003. "Underlying trends and seasonality in UK energy demand: a sectoral analysis," Energy Economics, Elsevier, vol. 25(1), pages 93-118, January.
    5. Bardazzi, Rossella & Oropallo, Filippo & Pazienza, Maria Grazia, 2015. "Do manufacturing firms react to energy prices? Evidence from Italy," Energy Economics, Elsevier, vol. 49(C), pages 168-181.

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