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Accounting for nonlinearity, asymmetry, heterogeneity, and cross-sectional dependence in energy modeling: US state-level panel analysis

Liddle, Brantley - In: Economies 5 (2017) 3, pp. 1-11

This paper provides an example of several modeling and econometric advances used in the panel estimation of energy demand elasticities. The paper models the demand of total, industrial, and transport energy consumption and residential and commercial electricity consumption by analyzing US...

Persistent link: https://www.econbiz.de/10012009783

Asymptotics for the conditional-sum-of-squares estimator in fractional time series models

Nielsen, Morten Ørregaard - 2011

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares (CSS) estimator in fractional time series models. The models are parametric and quite general. The novelty of the consistency result is that it applies to an arbitrarily large set of admissible parameter...

Persistent link: https://www.econbiz.de/10010290413

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung - 2019

We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional … is based on sequential application of a proposed test for the dimension of the nonstationary subspace. To avoid …

Persistent link: https://www.econbiz.de/10012431063