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Estimation and model selection in the case of time series. Application on natural gas production

Author

Listed:
  • Victor Platon

    (Institute of National Economy – Romanian Academy)

  • Andreea Constantinescu

    (Institute of National Economy – Romanian Academy)

  • Sorina Jurist

    (Institute of National Economy – Romanian Academy)

Abstract

In 2021, natural gas price, extraction and distribution across EU became a key theme. The evolution of prices and quantities delivered are in the middle of a heated debate. On the one hand, there is a clear descending trend and, on the other hand, demand is up, pushing prices upward. In the last 10 years was noticed a steady decline in natural gas extracted both at EU level and in Romania. This tendency is typical for the new paradigm concerning energy policy oriented towards a cleaner power output. In these circumstances of prices volatility, it is useful to elaborate a consolidative model for natural gas production in Romania. One important advantage of this model would be to have a tool for better estimate of Romania's energy output. The methodology used several econometric models adapted to non-stationar time series suitable for natural gas production. By comparing the models, we end up selecting the most significant one, the one that showed improved forecast statistics. In this paper were envisaged several results: analysis of the volume of natural gas production; developing regression models for natural gas production in Romania; conclusions on most suitable econometric model for natural gas production in Romania.

Suggested Citation

  • Victor Platon & Andreea Constantinescu & Sorina Jurist, 2021. "Estimation and model selection in the case of time series. Application on natural gas production," Romanian Journal of Economics, Institute of National Economy, vol. 52(1(61)), pages 33-49, June.
    • Handle: RePEc:ine:journl:v:52:y:2021:i:61:p:33-49
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    References listed on IDEAS

    as
    1. Victor PLATON & Andreea TURDEANU, 2006. "The Sustainable Development In The Eu And Romania: Comparative Analysis," Romanian Journal of Economics, Institute of National Economy, vol. 23(2(32)), pages 91-99, December.
    2. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Econometric modelling; non-stationary time series; linear regression; autocorrelation of errors; AIC; Durbin – Watson statistic; natural gas production;
    All these keywords.

    JEL classification:

    • Q32 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Exhaustible Resources and Economic Development
    • Q35 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Hydrocarbon Resources
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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