IDEAS home Printed from https://ideas.repec.org/a/eee/eneeco/v34y2012i4p1082-1087.html
   My bibliography  Save this article

Long memory and disaggregated energy consumption: Evidence from fossils, coal and electricity retail in the U.S

Author

Listed:
  • Apergis, Nicholas
  • Tsoumas, Chris

Abstract

In this paper, the long memory properties of disaggregated fossils, coal and electricity retail consumption in the U.S. over the 1989–2009 period are examined. The presence of long memory is related to autocorrelation persistence of each series. Our results show that there is heterogeneity in the order of integration between these types of energy consumption and for the different sectors employed, which is affected by the inclusion of a break event. The order of integration was generally higher for the case of a break in the intercept than in the slope, with the latter being more plausible for all series.

Suggested Citation

  • Apergis, Nicholas & Tsoumas, Chris, 2012. "Long memory and disaggregated energy consumption: Evidence from fossils, coal and electricity retail in the U.S," Energy Economics, Elsevier, vol. 34(4), pages 1082-1087.
    • Handle: RePEc:eee:eneeco:v:34:y:2012:i:4:p:1082-1087
    DOI: 10.1016/j.eneco.2011.09.002
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0140988311002039
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.eneco.2011.09.002?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    2. Chen, Pei-Fen & Lee, Chien-Chiang, 2007. "Is energy consumption per capita broken stationary? New evidence from regional-based panels," Energy Policy, Elsevier, vol. 35(6), pages 3526-3540, June.
    3. Barsky, Robert B & Miron, Jeffrey A, 1989. "The Seasonal Cycle and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 503-534, June.
    4. Luis A. Gil‐Alana, 2008. "Fractional integration and structural breaks at unknown periods of time," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 163-185, January.
    5. Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007. "Dynamics of Persistence in International Inflation Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1457-1479, September.
    6. Sari, Ramazan & Ewing, Bradley T. & Soytas, Ugur, 2008. "The relationship between disaggregate energy consumption and industrial production in the United States: An ARDL approach," Energy Economics, Elsevier, vol. 30(5), pages 2302-2313, September.
    7. Yang, Hao-Yen, 2000. "A note on the causal relationship between energy and GDP in Taiwan," Energy Economics, Elsevier, vol. 22(3), pages 309-317, June.
    8. Gil-Alana, Luis A., 2002. "Structural breaks and fractional integration in the US output and unemployment rate," Economics Letters, Elsevier, vol. 77(1), pages 79-84, September.
    9. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
    10. Hansen, Lars Peter & Sargent, Thomas J., 1993. "Seasonality and approximation errors in rational expectations models," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 21-55.
    11. Morten Ørregaard Nielsen, 2005. "Multivariate Lagrange Multiplier Tests for Fractional Integration," Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 372-398.
    12. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
    13. Mishra, Vinod & Sharma, Susan & Smyth, Russell, 2009. "Are fluctuations in energy consumption per capita transitory? Evidence from a panel of Pacific Island countries," Energy Policy, Elsevier, vol. 37(6), pages 2318-2326, June.
    14. William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Apergis, Nicholas & Tsoumas, Chris, 2011. "Integration properties of disaggregated solar, geothermal and biomass energy consumption in the U.S," Energy Policy, Elsevier, vol. 39(9), pages 5474-5479, September.
    2. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
    3. Belbute, José, 2013. "Does final demand for energy in Portugal exhibit long memory?," MPRA Paper 45717, University Library of Munich, Germany.
    4. Barros, Carlos P. & Gil-Alana, Luis A. & Wanke, Peter, 2016. "Energy production in Brazil: Empirical facts based on persistence, seasonality and breaks," Energy Economics, Elsevier, vol. 54(C), pages 88-95.
    5. Smyth, Russell, 2013. "Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production," Applied Energy, Elsevier, vol. 104(C), pages 371-378.
    6. Lean, Hooi Hooi & Smyth, Russell, 2013. "Are fluctuations in US production of renewable energy permanent or transitory?," Applied Energy, Elsevier, vol. 101(C), pages 483-488.
    7. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2013. "International Labour Force Participation Rates By Gender: Unit Root Or Structural Breaks?," Bulletin of Economic Research, Wiley Blackwell, vol. 65, pages 142-164, May.
    8. Smyth, Russell & Narayan, Paresh Kumar, 2015. "Applied econometrics and implications for energy economics research," Energy Economics, Elsevier, vol. 50(C), pages 351-358.
    9. Golpe, Antonio A. & Carmona, Monica & Congregado, Emilio, 2012. "Persistence in natural gas consumption in the US: An unobserved component model," Energy Policy, Elsevier, vol. 46(C), pages 594-600.
    10. Meng, Ming & Payne, James E. & Lee, Junsoo, 2013. "Convergence in per capita energy use among OECD countries," Energy Economics, Elsevier, vol. 36(C), pages 536-545.
    11. Paresh Narayan & Russell Smyth, 2014. "Applied Econometrics and a Decade of Energy Economics Research," Monash Economics Working Papers 21-14, Monash University, Department of Economics.
    12. Carlos Pestana Barros & Luis A. Gil-Alana, 2011. "Oil Prices: Persistence and Breaks," Faculty Working Papers 09/11, School of Economics and Business Administration, University of Navarra.
    13. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2013. "U.S. Disaggregated renewable energy consumption: Persistence and long memory behavior," Energy Economics, Elsevier, vol. 40(C), pages 425-432.
    14. Carlos Pestana Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Long Memory in German Energy Price Indices," CESifo Working Paper Series 3935, CESifo.
    15. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
    16. Schneider, Nicolas & Strielkowski, Wadim, 2023. "Modelling the unit root properties of electricity data—A general note on time-domain applications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 618(C).
    17. Gil-Alana, Luis A. & Loomis, David & Payne, James E., 2010. "Does energy consumption by the US electric power sector exhibit long memory behavior?," Energy Policy, Elsevier, vol. 38(11), pages 7512-7518, November.
    18. Guglielmo Maria Caporale & Luis A. Gil-Alana & Manuel Monge, 2019. "Energy Consumption in the GCC Countries: Evidence on Persistence," CESifo Working Paper Series 7470, CESifo.
    19. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2011. "An analysis of oil production by OPEC countries: Persistence, breaks, and outliers," Energy Policy, Elsevier, vol. 39(1), pages 442-453, January.
    20. Lean, Hooi Hooi & Smyth, Russell, 2014. "Will initiatives to promote hydroelectricity consumption be effective? Evidence from univariate and panel LM unit root tests with structural breaks," Energy Policy, Elsevier, vol. 68(C), pages 102-115.

    More about this item

    Keywords

    Fractional integration; Disaggregated fossils; Coal and electricity retail energy; Structural breaks;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:34:y:2012:i:4:p:1082-1087. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.