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Analyzing light fuel demand elasticities in Brazil using cointegration techniques
Rodrigues, Luciano; Bacchi, Mirian Rumenos Piedade - In: Energy economics 63 (2017), pp. 322-331
Persistent link: https://www.econbiz.de/10011757986
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Modelling UK sub-sector industrial energy demand
Agnolucci, Paolo; De Lipsis, Vincenzo; Arvanitopoulos, … - In: Energy economics 67 (2017), pp. 366-374
Persistent link: https://www.econbiz.de/10011897936
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A Simple Test for Spurious Regressions
Noriega, Antonio E.; Ventosa-Santaularia, Daniel - School of Economics and Management, University of Aarhus - 2011
The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper...
Persistent link: https://www.econbiz.de/10009147394
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Optimal hedging with the cointegrated vector autoregressive model
Johansen, Søren; Gatarek, Lukasz - School of Economics and Management, University of Aarhus - 2014
(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …
Persistent link: https://www.econbiz.de/10010940883
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Heterogeneity in price elasticity of vehicle kilometers traveled : evidence from micro-level panel data
Tilov, Ivan; Weber, Sylvain - In: Energy economics 127 (2023) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10014487388
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Modeling final energy demand and the impacts of energy price reform in Saudi Arabia
Gasim, Anwar A.; Agnolucci, Paolo; Ekins, Paul; De … - In: Energy economics 120 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014283228
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Sensitivity of the U.S. economy to oil prices controlling for domestic production and imports
Oladosu, Gbadebo; Leiby, Paul N.; Uria-Martinez, Rocio; … - In: Energy economics 115 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013541675
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Unbalanced Regressions and the Predictive Equation
Osterrieder, Daniela; Ventosa-Santaulària, Daniel; … - School of Economics and Management, University of Aarhus - 2015
Predictive return regressions with persistent regressors are typically plagued by (asymptotically) biased/inconsistent estimates of the slope, non-standard or potentially even spurious statistical inference, and regression unbalancedness. We alleviate the problem of unbalancedness in the...
Persistent link: https://www.econbiz.de/10011158460
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Estimation of long memory in integrated variance
Rossi, Eduardo; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2011
A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is driven by a fractional Brownian motion, the integrated variance is characterized by long-range dependence. As a consequence, the realized variance inherits this property when prices are...
Persistent link: https://www.econbiz.de/10008915798
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Nonparametric Detection and Estimation of Structural Change
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2011
We propose a nonparametric approach to the estimation and testing of structural change in time series regression models. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and parametric components. Given the estimators under null...
Persistent link: https://www.econbiz.de/10009003125