1,721,019 research outputs found
Do energy efficiency policies save energy? A new approach based on energy policy indicators (in the EU Member States)
Full text linkOver the last two decades, the European Union and its Member States have introduced policies aimed at improving energy efficiency. The Energy Service Directives (ESD) introduced the concept of measurement of energy savings attributed to policies. Two different and complementary methodologies for the evaluation of energy savings have been developed under the ESD: the bottom-up (BU) approach, based on a technical analysis of each measure, and the top-down (TD) approach, based on the analysis of how energy intensity changes over time. BU methods can hardly take into account policy-induced behavioural changes, whereas TD methods have difficulties in disentangling policy-induced savings from other savings. Econometric models have been proposed as a viable alternative to deal with both drawbacks. The purpose of this article is to present an econometric model aimed at estimating the energy savings induced by energy efficiency policies in the EU Member States in the period 1990–2013. We introduce an explicit measure of Energy Policy Intensity based on the MURE database, which is used as explanatory variable in a dynamic panel model for 29 European countries. Our results suggest that energy consumption in 2013 in Europe would have been about 12% higher in the absence of energy efficiency policies
MALCOLM (MAximum Likelihood COintegration analysis of Linear Models): The Theory and Practice of Cointegration Analysis in RATS, Cafoscarina, Venezia
No full textPreliminary evidence based on ultra high frequency data on the relationship among stock prices, traded quantities and order book quotes in the Italian stock market
No full textThis paper is one of the few attempts to analyze ultra high frequency data from an order driven market. We develop some new indicators for bid-ask spread and the sign of traded quantities (buy or sell). Instead of using ACD-like models, we transform the data, wich are originally irregularly spaced over time, into regularly spaced (5 of 45 seconds). We perform non causality analysis on such data, finding some preliminary but interesting results
Stock Prices and Traded Quantities: Evidence from Ultra High Frequency Data
No full textThis paper provides some empirical evidence on the role of demand and supply mechanisms in the stock market, using ultra high frequency data on trades and the limit order book for two stocks traded on Borsa Italiana in February 2005. We conclude with some suggestion for modelling
Identification of Cointegrating Relations in I(2) Vector Autoregressive Models
No full textThis paper discusses identification within a new parametrization for I(2) systems, where the integral and proportional control cointegrating relations are not necessarily orthogonal. The new parametrization, while equivalent to previously proposed ones, gives more flexibility in choosing the variables to include in first differences in the integral and proportional control term. We discuss the joint identification of the cointegrating relations, providing rank and order conditions. We discuss likelihood estimation, and propose a simple alternating algorithm for likelihood-maximization, under the cases of under- exact- and over-identification. An illustration on US consumption is also presented
Inizialization of Maximum Likelihood algorithms for cointegrated I(1) and I(2) VAR models
No full text
- …
