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Notes - A Comparison of Original Costs and Trended Original Cost Ratemaking Methods

Robert E. Anderson and David E. Mead

Year: 1983
Volume: Volume 4
Number: Number 2
DOI: 10.5547/ISSN0195-6574-EJ-Vol4-No2-11
No Abstract









Unravelling Trends and Seasonality: A Structural Time Series Analysis of Transport Oil Demand in the UK and Japan

Lester C. Hunt and Yasushi Ninomiya

Year: 2003
Volume: Volume24
Number: Number 3
DOI: 10.5547/ISSN0195-6574-EJ-Vol24-No3-3
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Abstract:
This paper demonstrates the importance of adequately modelling the Underlying Energy Demand Trend (UEDT) and seasonality when estimating transportation oil demand for the UK and Japan. The structural time series model is therefore employed to allow for a stochastic underlying trend and stochastic seasonals using quarterly data from the early 1970s, for both UK and Japan. It is found that the stochastic seasonals are preferred to the conventional deterministic dummies and, more importantly, the UEDT is found to be highly non-linear for both countries, with periods where it is both upward and downward sloping.



Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028

Markku Lanne and Matti Liski

Year: 2004
Volume: Volume 25
Number: Number 4
DOI: 10.5547/ISSN0195-6574-EJ-Vol25-No4-3
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Abstract:
We consider per-capita carbon dioxide emission trends in 16 early industrialized countries over the period 1870-2028. Using a multiple-break time series method we find more evidence for very early downturns in per-capita trends than for late downturns during the oil price shocks of the 1970s. Only for two countries do downturns in trends imply downward sloping stable trends. We also consider trends in emission composition and find little evidence for in-sample peaks for emissions from liquid and gaseous fuel uses. These results lead us to reject the oil price shocks as events causing permanent breaks in the structure and level of emissions, a conclusion often made in analyses using shorter postwar data.



A Note on the Oil Price Trend and GARCH Shocks

Jing Li and Henry Thompson

Year: 2010
Volume: Volume 31
Number: Number 3
DOI: 10.5547/ISSN0195-6574-EJ-Vol31-No3-8
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Abstract:
This paper investigates the trend in the monthly real price of oil between 1990 and 2008 with a generalized autoregressive conditional heteroskedasticity (GARCH) model. Trend and volatility are estimated jointly with the maximum likelihood estimation. There is long persistence in the variance of oil price shocks, and a GARCH unit root (GUR) test can potentially yield a significant power gain relative to the augmented Dickey-Fuller (ADF) test. After allowing for nonlinearity, the evidence supports a deterministic trend in the price of oil. The deterministic trend implies that influence of a price shock is transitory and policy efforts to restore a predictable price after a shock would be unwarranted in the long run.



Stochastic Trends and Technical Change: The Case of Energy Consumption in the British Industrial and Domestic Sectors

Paolo Agnolucci

Year: 2010
Volume: Volume 31
Number: Number 4
DOI: 10.5547/ISSN0195-6574-EJ-Vol31-No4-5
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Abstract:
This paper estimates energy demand in the British domestic and indus�trial sectors and analyzes the extent to which energy-saving technological change is exogenous, or induced by the energy price. The paper implements models with a linear trend, models making use of the price decomposition of Dargay and Gately (1995a) and the Structural Time Series Models (STSMs) of Harvey (1989). Stochastic trends have been found to be rather important while in neither of the sectors assessed in this study could the hypothesis of symmetric price effects be rejected. Following Hunt and Judge (2005), stochastic trend and asymmetric price effects are found to be substitutes in the industrial sector. In particular we con�clude that asymmetric price effects can substitute for the slope in the stochastic trend. Finally, energy consumption in the industrial sector is strongly in.uenced by price while the effect of price in the domestic sector is markedly smaller.





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