In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Forecasting, Structural Time Series Models and the Kalman Filter

This chapter discusses leading problems linked to energy that the world is now confronting and to propose some ideas concerning possible solutions. Oil deserves special attention among all energy sources. Since the beginning of 1981, it has merely been continuing and enhancing the downward movement in consumption and prices caused by excessive rises, especially for light crudes such as those from Africa, and the slowing down of worldwide economic growth. Densely-populated oil-producing countries need to produce to live, to pay for their food and their equipment. If the economic growth of the industrialized countries were to be 4%, even if investment in the rational use of energy were pushed to the limit and the development of nonpetroleum energy sources were also pursued actively, it would be extremely difficult to prevent a sharp rise in prices. It is evident that it is absolutely necessary to pursue actively the development of coal, natural gas, and nuclear power if a physical shortage of energy is not to block economic growth.

World energy outlook

CO2 emissions, electricity consumption and output in ASEAN

Energy consumption and real GDP in G7 countries: New evidence from panel cointegration with structural breaks

This paper explores the impact of investor flows and financial market conditions on returns in crude-oil futures markets. I begin with a review of the economic mechanisms by which informational frictions and the associated speculative activity may induce prices to drift away from fundamental" values and show increased volatility. This is followed by a discussion of the interplay between imperfect information about real economic activity, including supply, demand, and inventory accumulation, and speculative activity. Finally, I present new evidence that there was an economically and statistically significant effect of investor flows on futures prices, after controlling for returns in US and emerging-economy stock markets, a measure of the balance-sheet flexibility of large financial institutions, open interest, the futures/spot basis, and lagged returns on oil futures. The intermediate-term growth rates of index positions and managed-money spread positions had the largest impacts on futures prices.

Investor Flows and the 2008 Boom/Bust in Oil Prices

The dynamics of returns on renewable energy companies: A state-space approach

Household energy consumption versus income and relative standard of living: A panel approach

The direction of the causality between energy consumption and income is an important issue in the fields of energy economics, economic growth, and policies toward energy use. The seminal work on the relations between energy consumption and aggregate income is Kraft and Kraft (1978). An extensive literature has followed, but the array of findings provide anything but consensus on either the existence of relations or direction of causality between the variables. The work in this paper extends this research by analysing the cointegrating and causal relations between income and three energy consumption series based on panel data and the latest panel methodologies. These relations are analysed for the 30 OECD countries and 26 non-OECD countries. The results support a finding of causality flowing from income to energy consumption for developed and developing economies, alike.

Ronald D. Ripple

Papers

The dynamics of returns on renewable energy companies: A state-space approach

Household energy consumption versus income and relative standard of living: A panel approach

Energy consumption and real income : a panel cointegration multi-country study

Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?

Link between endowments, economics and environment in conventional and unconventional gas reservoirs