Estimation of Short-Run and Long-Run Elasticities of Energy Demand From Panel Data Using Shrinkage Estimators |
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| Authors: | G. S. Maddala Robert P. Trost Hongyi Li Frederick Joutz |
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| Affiliation: | 1. Department of Economics , The Ohio State University , Columbus , OH , 43210-1172;2. Department of Economics , The George Washington University , Washington , DC , 20052;3. Department of Management , The Chinese University of Hong Kong , Shatin N.T. , Hong Kong |
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| Abstract: | This article discusses the problem of obtaining short-run and long-run elasticities of energy demand for each of 49 states in the United States using data for 21 years. Estimation using the time series data by each state gave several wrong signs for the coefficients. Estimation using pooled data was not valid because the hypothesis of homogeneity of the coefficients was rejected. Shrinkage estimators gave more reasonable results. The article presents in a unified framework the classical, empirical Bayes, and Bayes approaches for deriving these estimators. |
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| Keywords: | Bayesian shrinkage estimator Random-coefficient model Stein-rule estimator |
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