The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distributed lag (ARDL) model in estimating energy demand relationships. Recent research, however, shows that the...

We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation...