Camacho-Gutiérrez, Pablo (2010): Dynamic OLS estimation of the U.S. import demand for Mexican crude oil.
Download (239Kb) | Preview
This paper estimates the U.S. import demand for crude oil from Mexico. The analysis is based on time series from January 1990 to December 2010. Time series properties of the processes that generate the data are assessed in order to specify the order of integration for each series. According to results from unit root tests, all the series under study are unit root non-stationary. The paper then estimates the cointegrating import demand regression using Dynamic OLS procedure. Residuals from the DOLS cointegrating regression are tested and found to be stationary; thus, the cointegrating regression is not spurious. According to estimation results, U.S. import demand for Mexican crude oil is income inelastic, perfect price inelastic, and responsive to changes in both U.S. stock of oil (excluding SPR) and unemployment rate in the U.S. Also, this paper points to the estimate bias from omitting relevant variables as it is common in the mainstream literature on crude oil import demand.
|Item Type:||MPRA Paper|
|Original Title:||Dynamic OLS estimation of the U.S. import demand for Mexican crude oil|
|Keywords:||Crude Oil Demand, Unit Root, Dynamic OLS.|
|Subjects:||Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q4 - Energy > Q41 - Demand and Supply
F - International Economics > F1 - Trade > F14 - Empirical Studies of Trade
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Pablo Camacho-Gutiérrez|
|Date Deposited:||06. May 2011 02:23|
|Last Modified:||11. Feb 2013 22:40|
Al-Azzam, Ahmed and David Hawdon (1997), “Esimating the Demand for Energy in Jordan: A Stock-Watson Dynamic OLS (DOLS) Approach,” Mimeo, 16 pages.
Anaman, Kwabena A. and Samantha M. Buffong (2001), Asian Economic Journal, 15, 1, 61-70.
Agbola, Frank W. and Maylene Y. Damoense (2005), “Time Series Estimation of Import Demand Functions for Pulses in India,” Journal of Economic Studies, 32, 2, 146-157.
Carone, Giuseppe (1996), “Modeling the U.S. Demand for Imports Through Cointegration and Error Correction,” Journal of Policy Modeling, 18, 1, 1-48.
Choi, Chi_Young, Ling Hu and Masao Ogaki (2008), “Robust Estimation for Structural Spurious Regressions and a Hausman-type Cointegration Test,” Journal of Econometrics, 142, 327-351.
Dickey, David A. and Wayne A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series With a Unit Root,” Journal of the American Statistical Association, 74, 366, 427-431.
Engle, R. F., and C. W. J. Granger (1987), "Cointegration and Error Correction: Representation, Estimation, and Testing," Econometrica, 55, 251-276.
Fuller, Wayne A. (1976), Introduction to Statistical Time Series, New York: John Wiley & Sons.
Gosh, Sajal (2009), “Import Demand of Crude Oil and Economic Growth: Evidence from India,” Energy Policy, 37, 699-702.
MacKinnon, James G. (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests,” Journal of Applied Econometrics, 11, 601-618.
Mah, Jai S. (2000), “An Empirical Examination of the Dissaggregated Import Demand of Korea –The Case of Information Technology Products,” Journal of Asian Economics, 11, 237-244.
Masih, Rumi (2000), “A Reassessment of Long –Run Elasticities if Japanese Import Demand,” Journal of Policy Modeling, 22, 5, 625-639.
Masih, Rumi and Abul M. M. Masih (1996), Stock-Watson Dynamic OLS (DOLS) and Error-Correction Modelling Approaches to Estimating Long- and Short-Run Elasticities in a Demand Function: New Evidence and Methodological Implications from an Application to the Demand for Coal in Mainland China,” Energy Economics, 18, 315-334.
Melo, Oscar, and Michael G. Vogt (1984), “Determinants of the Demand for Imports of Venezuela,” Journal of Development Economics, 14, 351-358.
Phillips, Peter C.B. (1987), “Time Series Regression with a Unit Root,” Econometrica, 55, 2, 277-301.
Phillips, Peter C.B. and Pierre Perron (1988), “Testing for Unit Root in Time Series Regression,” Biometrika, 75, 2, 335-346.
Uri, Noel D. and Roy Boyd (1988), “Crude Oil Imports into the United States,” Applied Energy, 31, 101-118.
Senhadji, Abdelhak (1998), “Time-Series Estimation of Structural Import Demand Equations: A Cross-Country Analysis,” IMF Staff Papers, 45, 2, 236-268.
Sinha, Dipendra (1997), “Determinants of Import Demand in Thailand,” International Economic Journal, 11, 4, 73-83.
Stock, James H. and Mark W. Watson (1993), “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems,” Econometrica, Vol. 61, No. 4, July, 783-820.
Thursby, Jerry and Marie Thursby (1984), “How Reliable Are Simple, Single Equation Specifications of Import Demand?,” The Review of Economics and Statistics, 66, 1, 120-128.
Zhao, Xingjun and Yanrui Wu (2007), “Determinants of China’s Energy Imports: An Empirical Analysis,” Energy Policy, 35, 4235-4246.
Ziramba, Emmanuel (2010), “Price and Income Elasticities of Crude Oil Import Demand in South Africa: A Cointegration Analysis,” Energy Policy, 38, 7844-7849.