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Economics

ELSEVIER

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

Rumi Masih d, Abul M.M. Masih b,*

aDepartment of Applied Economics, Universityof Cambridge. Cambridge CB3 9DE, UK

Department of Economtcs and Management, Universityof New South Wales, Canberra,

ACT 2600, Australia

Abstract

In this paper robust elasticity estimates of coal demand for China are derived using annual

data 1953-92. In so doing, we illustrate the use of a powerful yet practically convenient and

recently developed modelling procedure devised by Stock and Watson (known as Dynamic

OLS (DOLS)), who provide evidence, based on Monte Carlo simulations, of this estimator

being superior in small samples compared to a number of alternative estimators, as well as

being able not only to accommodate higher orders of integration but also to account for

possible simultaneity within regressors of a potential demand system. Furthermore, cointegration and error-correction methods are employed to derive short-run price and income

elasticities. Estimated results are quite robust not only in terms of statistical prowess but

also in terms of economic intuition and indicate that, over the long run, both price and

income elasticities are close to unity. While short-run price and income elasticities are less

(in absolute value) than their long-run counterparts, there seems to be some divergence in

short-run parameters from a subsample analysis. Overall, results seem to imply that for

China, coal consumption should remain relatively constant as future modernization strategies for economic development are pursued. In addition, the study has clear methodological

implications for estimating the long- and short-run elasticities in a demand function in

general, and in a wide variety of fields in future applied research.

* Corresponding author. E-mail: a-masih@adfa.oz.au

0140-9883/96/$15.00 Cc) 10% Elsevier Science B.V. All rights reserved

P I I S 0 1 4 0 - 9 8 8 3 ( 9 6 ) 00016-3

316

Dynamic OLS

1. Introduction

There have now been several studies devoted to the understanding of the

relationship between macroeconomic variables on the one hand and resource

related variables on the other (see Harvie and Hoa, (1993)). Some have attempted

to study the macroeeonomic effects arising from a variety of resource related

shocks (examples include Pindyck (1980) on effects of the first oil price shock,

Gregory (1976) for the Australian resource boom, Eastwood and Venables (1982)

on reaction from resource hikes in open economies). Others have concentrated on

the specification or modelling approach of energy demand in deriving elasticities

(see Zilberfarb and Adams (1981) for income elasticity estimates of energy consumption using cross-country data for developing countries; Dunkerley (1982) on

estimating energy demand for a selection of developing countries; Hoa (1992) for a

multivariate simultaneous approach in modelling Thai energy demand; Bentzen

and Engsted (1993) in estimating short- and long-run Danish energy demand

elasticities; Engsted and Bentzen (1993) on a rational expectationist approach to

Danish energy demand, and Bentzen (1994) in analysis of Danish gasoline demand).

Related to this is a wide body of literature investigating the causal relationship

between energy consumption and economic growth (see Kraft and Kraft (1978) on

the seminal study finding evidence in support of unidirectional causality from

income to energy for the US; Akarca and Long (1980) who contested these

findings; Abosedra and Baghestani (1991) who re-opened the debate with findings

in support of Kraft's and Kraft's initial study; Stern (1993) who uses an ordinary

vector-autoregression (VAR) with variables in first-difference form on US data

(1947-90) finding evidence against the hypothesis that gross energy Granger causes

GDP, and Masih and Masih (1996c) in an investigation of bivariate causality

between energy consumption and economic growth for six Asian LDCs).

Modelling energy and economic related variables, however, is often associated

with problems of a practical nature which have serious consequences for inference

making based on the estimates. First, apart from the standard problems of

departures from classical assumptions of the regression framework, reduced form

equations typically suffer from endogeneity of regressors leading to simultaneity

among the variables in the system. Secondly, the variables used in such studies are

usually very aggregated and exhibit non-stationarity (see Nelson and Plosser (1982)

and Perron (1988) on evidence of non-stationarity in several macro-aggregates) but

this has been remedied by applications of cointegration techniques (Engle and

Granger, 1987) and developments in error-correction modelling. Thirdly, the small

sample nature of data-sets being employed in energy economics (due mainly to

317

standard cointegration techniques in deriving estimates of supposedly long-run

parameters (De Vany and Walls (1993) is one such example which tests for

bivariate cointegration between pairs of spot prices using high frequency daily data,

but only covering a single year). 1

The purpose of this paper is to employ the very recent developments in

modelling long-run or cointegrated relationships which remedy, in part, some of

the above problems, in an application to estimating elasticities of price and income

in coal demand for China employing annual data (1953-92). Specifically, we utilize

a procedure developed by Stock and Watson (1993) known as dynamic OLS

(DOLS) which allows for variables integrated of alternative orders (in this sense, a

higher order of integration), as well as tackling the problem of simultaneity

amongst the regressors. Furthermore, based on Monte Carlo evidence, Stock and

Watson (1993) show that DOLS is more favourable, particularly in small samples,

compared to a number of alternative estimators of long-run parameters, including

those proposed by Engle and Granger (1987), Johansen (1988) and Phillips and

Hansen (1990). Furthermore short-run elasticity counterparts are also derived via

robust dynamic error-correction models (ECMs) (see Bentzen and Engsted (1993)

and Bentzen (1994) in an application of ECMs to energy economics). In this

regard, we aim to provide a unified methodological approach that utilizes these

recent advances in time series econometrics to examine the relationship governing

the demand for a vitally important energy resource, namely coal, in China.

We choose China since work on this country is rather limited with respect to the

role played by the energy or resource sector in its development. Coal is the focus of

this study since it dominates all other sources of resource endowment in China and

is also the primary source of consumption. China is, not surprisingly, the world's

largest coal producer. For our analysis price of coal is also readily available as with

the other variables from various issues of the China Statistical Yearbook published

by the government of China.

Only a few studies, namely Owen and Neal (1989), who analyse China's potential

for a net export earner, and Smil (1988) provide views for energy in China's

development. Recently Tang and La Croix (1993) derive income elasticities for

energy consumption on a provincial level for China using pooled province-level,

cross-section data. While these studies have contributed in improving our understanding of the interaction between energy consumption and the economic development process, there have been none that study the dynamic characteristics of

lOne of the problems associated with employing cointegration techniques is that its power is vitally

dependent upon the actual length of time that the sample period spans. This has been supported in

Monte Carlo studies conducted by Shiller and Perron (1985) and Hakkio and Rush (1991). For purposes

of infcrence making, however, standard tests of hypothesis in regression models are usually associated

more favourably with data on a high frequency, i.e. large sample and asymptotically distributed.

However, as is often the case with long-spanning data, particularly in aggregated variables used ill

energy analysis, only annual data offering a small number of obsevvations can be relied upon to be

available on a consistent basis.

318

these variables over a long time horizon to which the techniques employed in this

paper adequately cover. To this extent, this study helps to fill this void.

The paper is organized in the following manner. Section 2 contains a brief

overview of China's coal endowment, consumption and contribution in economic

growth; a brief and intuitive account of the statistical methodology employed is

provided in Section 3 prior to application of methods and a discussion of results in

Section 4. Some broad policy implications, conclusions and a summary of contributions this study had for future research are made in Section 5.

Among all the alternative types of China's resource endowment, coal dominates

by far; so much so that in 1989, it accounted for about 74% of its aggregate energy

production. The coal reserves lie both to the north and southern provinces (Tang

and La Croix, 1993), though its quality is superior in the northern reserves.

According to Tang and La Croix (1993), there are three key features which

determine the structure of China's total energy and coal potential: coal is predominant in China's energy consumption, accounting for almost all (95%) of the

country's primary energy consumption during the 1950s; before declining over the

next two decades and rising again in the 1980s due to too heavy dependence on oil;

while coal endowments have helped in making China a self-sufficient energy

consumer, it has never been a serious candidate for a potential export earner; even

though aggregate energy consumption in China is high in world rankings, it is very

low in terms of per capita consumption (only one-third of the world average).

The model used in this analysis is dictated by the typical formulation postulated

by economic theory for aggregate energy demand functions, in its double-log form

as~

logC t = c~ + / 3 ( l o g P t) + 6(logYt) + v~

(1)

represents real income (usually GDP), u, is an error term assumed to be white-noise

and normally and identically distributed. Estimation of (1) with adequate data will

provide approximate long-run price and income elasticities. Augmenting lagged

terms will add structure to the dynamics. 2

2Ideally, in a d e m a n d function there ought to be an additional regressor, namely the price of a

substitute of coal. However, due to lack of appropriate data or proxies for the entire length of the

sample period, we could not incorporate such a variable.

319

1.5

11.5

1.4

11

1.3

10.5

lO

9.5

Co~ C o n ~ m p t m ~ e f t

, ,',

,'1

1.2

1.1

0.9 0

,"''-

Scale

~ ~ . - - "

~l~o~P~e~lgn(~e)

0.8 n"

0.7

8.5

0.6

I I I I I [ I [ : 1 : : l : : I I I I I I I I I I I I I I I I I I I I I I

Fig. l.

0.5

AggregatecoalconsumptionandrealcoalpriceinChina:1953-92.

6.5

11.5

5.5

11

10.5

4.5

lO

" ,~ / . ' ~

9.5

3.5 !

2.5 ~

1.5

8.5

0.5

Fig. 2.

Aggregate

coal consumption

in C h i n a :

1953-92.

The data used in this analysis are annual ranging from 1953 to 1992, and were

obtained from historical annual statistics reported in recent issues of the China

Statistical Yearbook. Plots of aggregate coal consumption compared to real price of

coal and real income are presented in Figs. 1 and 2.

Like all other models that utilize time series data, it is important to recognize

that unless the analytical tools used account for the dynamics of the relationship

320

involved may not be fully captured. Hence, there is a requirement for employing

the latest advances in dynamic time-series modelling within a temporal 'causal'

framework that allows for the coexistence of both short- and long-run forces that

drive the often ignored deviating and cyclical influences so inherently interactive

with these aggregate variables over such a time horizon. 3 The following sequential

procedures will be adopted as part as our methodology.

In order to verify to what degree these series share univariate integration

properties, we perform both unit root tests and mean stationarity tests.

The DF (Dickey and Fuller, 1979, 1981) type tests and the non-parametric

Phillips-Perron (PP) type tests developed by Phillips (1987), Phillips and Perron

(1988), and Perron (1988) are convenient testing procedures, both based on the

null hypothesis that a unit root exists in the autoregressive representation of the

time series. DF tests attempt to account for temporally dependent and heterogeneously distributed errors by including lagged sequences of first differences of the

variable in its set of regressors. The PP tests try to account for dependent and IID

processes through adopting a non-parametric adjustment hence eliminating any

nuisance parameters. 4 Recently these tests have been shown (see Campbell and

Perron (1991) and DeJong et al. (1992)) to suffer from lack of power as they often

tend to accept the null of a unit root too frequently against a stationary alternative.

Moreover, the Phillips-Perron statistics have been shown to perform poorly over

small samples.

These studies have also implied that it would be worthwhile to conduct tests of

the null hypothesis of mean stationarity in order to determine whether variables

are stationary or integrated. Mean stationarity tests are performed with a test

recently proposed by Kwiatkowski et al. (1992). This test (abbreviated as KPSS) is

3See Masih and Masih (1995a, 1996b) for an investigation of the dynamics of economic activity within a

multivariate cointegrated system. Bivariate Granger causality tests using cointegration techniques have

also been undertaken in Masih and Masih (1995c).

4A treatment of the sequential steps involved in applying the PP tests appear in Taylor (1993). Basically,

Perron (1988) shows that if a time series in trend stationary and if no account is made of this in

implementing the testing procedure, this may lead to high probabilities of making a type 11 error. While

the precise form of the assumptions (with regard to distributional properties of error terms, etc) is

contained in Perron (1988), the following sequence is suggested:

(i) Apply Z(t~,), Z ( ~ 2) and Z ( ~ 3) respectively and if the unit root hypothesis is rejected we should

halt the procedure here.

(ii) If the unit root hypothesis cannot be rejected then the greatest power may be obtained by

estimating equations associated with the Phillips-Perron transformations of the relevant t- and

F-statistics, Z(t~,) and Z(qb~). Due to the fact that these two tests are not invariant to the constant

term, this is only valid if the drift term (/x*) used in test equations applied in (i)was zero. In this

respect these two tests should only be used if Z(q~ 2) cannot be rejected.

321

T

r/(u) = ( 1 / T 2) E S ~ / - ~

where

t=l

S t = ~_,v i , t =

1.... T

(2)

i-I

consistent long-run variance estimate of Yt, and T represents the sample size.

Kwiatkowski et al. (1992) show that the statistic r~(u) has a non-standard distribution and critical values have been provided therein. If the calculated value of ~(u)

is large then the null of stationarity for the KPSS test is rejected. Since we

entertain both the Phillips-Perron tests and the KPSS test in this exercise, we

consider a variable to contain a unit root or be unit-root non-stationary if the null

hypothesis of non-stationarity is not rejected by the PP tests but the null hypothesis

that the variable is mean stationary is rejected by the KPSS test. s

3.2.2. Tests f o r multivariate cointegration

(1986) and Granger (1986) made a significant contribution towards modelling

stationary relationships while preserving the long-run relationship lost through

differencing. Two or more variables are said to be cointegrated, i.e. they exhibit

long-run equilibrium relationship(s), if they share common trend(s) (for an application of this technique in related disciplines, see Masih and Masih, 1994, 1996b).

According to this technique, if two variables are cointegrated, the finding of no

causality in either direction is also ruled out. As long as the two variables have a

common trend, causality (in the Granger sense, not in the structural sense), must

exist in at least one direction either unidirectional or bidirectional (Granger, 1986,

1988). Evidence of cointegration among variables also rules out the possibility of

the estimated relationship being 'spurious'.

In this analysis we employ the Johansen and Juselius (J J) procedure of testing

for the presence of multiple cointegrating vectors. Unlike its predecessor, the JJ

procedure poses several advantages over the popular residual-based E n g l e - G r a n g e r

two-step approach in testing for cointegration. Specifically, they may be summarized as follows. (i) The JJ procedure does not, a priori, assume the existence of at

most a single cointegrating vector, rather it explicitly tests for the number of

cointegrating relationships. (ii) Unlike the E n g l e - G r a n g e r procedure which is

sensitive to the choice of the dependent variable in the cointegrating regression,

the JJ procedure assumes all variables to be endogenous. (iii) Related to (ii), when

it comes to extracting the residual from the cointegrating vector, the JJ procedure

avoids the arbitrary choice of the dependent variable as in the E n g l e - G r a n g e r

approach, and is insensitive to the variable being normalized. (iv) The JJ procedure

5This guideline in considering the stochastic properties of univariate time series is also used in an

empirical analysis containing error-correction modellingby Mehra (1994).

322

relations withing the V E C M formulation. (v) JJ provides the appropriate statistics

and the point distributions to test hypothesis for the n u m b e r of cointegrating

vectors and tests of restrictions upon the coefficients of the vectors. 6 It is

demonstrated in Johansen (1991) that the procedure involves the identification of

rank of the m by m matrix H in the specification given by:

k-1

Ax, =

r, axt_

+ nx,_

(3)

i=1

where X t is a column vector of the m variables, F and H represent coefficient

matrices, A is a difference operator, k denotes the lag length, and 6 is a constant.

If II has zero rank, no stationary linear combination can be identified. In other

words, the variables in X t are non-cointegrated. If the rank r of H is greater than

zero, however, there will exist r possible stationary linear combinations and H may

be decomposed into two matrices a and /3 (each m r) such that H = a/3'. In

this representation b contains the coefficients of the r distinct cointegrating

vectors that r e n d e r / 3 ' X t stationary, even though X t is itself non-stationary, and a

contains the speed-of-adjustment coefficients for the equation, v

3.2.3. Estimation o f long-run equilibria: Stock-Watson dynamic O L S

which is based on an M L E approach. Another more recent and more robust

method, (particularly in small samples) proposed by Stock and Watson (1993),

which also corrects for possible simultaneity bias amongst the regressors, involves

estimation of long-run equilibria via dynamic OLS (DOLS). Stock and Watson

(1993) suggest a parametric approach for estimating long-run equilibria in systems

which may involve variables integrated of different orders but still cointegrated.

The potential of simultaneity bias and small-sample bias among the regressors is

dealt with by the inclusion of lagged and led values of the change in the regressors.

The procedure advocated is similar to recent estimators proposed by Phillips and

Loretan (1991) and Saikkonen (1991), but is much more practically convenient to

implement and estimate.

Model 1

Stock-Watson (1993) Dynamic OLS (DOLS): B = [c, a,/3]', X = [1, Pt, Yt]

6While applications of the JJ procedure have been quite popular in a multivariate context, results

arrived from JJ statistics in bivariate studies have also been shown to be more robust than those arrived

adopting the Engle Granger approach (see, by example, Masih and Masih, 1994, 1995b).

7With respect to both the Engle-Granger and JJ approach, it is important to acknowledge that should

non-cointegration not be rejected at conventional significance levels, it is possible that the residual term

may display fractional behaviour and still be mean-reverting implyingfractional cointegration. For such

an approach see Masih, R. and Masih, A. (1995a).

j=J

C, = B ' X t +

323

j=K

~_, ~jAp,_j +

j=-J

~

j=

A/AYt_ / + ~,

K

In estimating the long-run parameters of the demand function, we adopt the DOLS

procedure which basically involves regressing any 1(1) variables on other I(1)

variables, any I(0) variables and leads and lags of the first differences of any I(1)

variables. However, since an investigation of the short-run dynamics are also of

interest in our analysis and important for several other factors of modelling, the

standard VECM formulation described in the later section will also be employed in

facilitating our inferences regarding the short run.

3.2.4. Short-run dynamics: vector error-correction modelling (VECM)

Engle and Granger (1987) demonstrated that once a number of variables are

found to be cointegrated, there always exists a corresponding error-correction

representation which implies that changes in the dependent variable are a function

of the level of disequilibrium in the cointegrating relationship (captured by the

error correction term) as well as changes in other explanatory variable(s).

Assume that we are dealing with non-stationary processes and consider a model

appearing in first differences in a VECM form given by (2). Then by the JJ method

we may deduce the number of cointegrating vectors (using both the trace and

maximum eigenvalue tests) and the /3' vector estimates. The long-run constraints

implied by the estimated cointegrating vectors are imposed by way of constraints in

the simple VAR model (with variables appearing in first-differences) via lagged

error-correction terms.

Model 2

General vector error-correction specification with B = [c, o~,/3 ]', X = [1, P,, Y~]

j=k

j=l

xc, = E 4,j xc _j + E

j=l

j=m

jAe, j +

j=0

q- ~

ajar, j

j=0

~ i ( C t - i - B ' X t _ I ) + 6.t

i=1

Having described what constitutes our VECM, we should place the contributions

of this model in an intuitive context. When the variables are cointegrated, then in

the short term, deviations from this long-term equilibrium will feed back on the

changes in the dependent variable in order to force the movement towards the

long-term equilibrium. If the dependent variable (i.e. say, coal consumption) is

driven directly by this long-term equilibrium error, then it is responding to this

feedback. If not, it is responding only to short-term shocks to the stochastic

environment. The significance tests of the 'differenced' explanatory variables give

us an indication of the 'short-term' effects, whereas the 'long-term' causal relationship is implied through the significance or otherwise of the 't' test(s) of the lagged

324

derived from the long-term cointegrating relationship(s). The coefficient of the

lagged error-correction term, however, is a short-term adjustment coefficient and

represents the proportion by which the long-term disequilibrium (or imbalance) in

the dependent variable is being corrected in each short period. Non-significance or

elimination of any of the 'lagged error-correction terms' affects the implied

long-term relationship and may be a violation of theory. The non-significance of

any of the 'differenced' variables which reflects only a short-term relationship,

however, does not involve such violations because, theory typically has nothing to

say about short-term relationships (see Thomas, 1993). By example, applied work

employing this formulation has been used to test for the causal chains implied by

the major paradigms in macroeconomic theory (see Masih and Masih (1995a,

1996b) and Masih, R. and Masih, A. (1995b)).

As a prior to tests for multivariate cointegration, several unit root tests as

described in Section 3.2A were carried out. The results of KPSS and PhillipsPerron tests are presented in Table 1 for the full sample and each of two

subsamples (1953 to 1969 and 1970 to 1992).

Table 1 presents results from two tests discussed earlier on the three annual

time series variables. It is quite clear to observe that for all variables the

Phillips-Perron tests of the null hypothesis containing a unit root is quite small

and cannot be rejected at conventional levels of statistical significance. This is true

whether we allow for a deterministic trend to appear in the unit root test

specification or not.

On the other hand, the KPSS test statistic rt(u) that tests the null hypothesis that

a particular variable is mean stationary is large for all variables and further

confirms our earlier conclusion that these variables associated with a demand

model have a unit root and are clearly non-stationary in levels. However, once we

take the first difference of these variables and apply the PP tests, all test values

exceed the critical value (in its absolute value). This leads us to the conclusion that

all series concerned are stationary in their first differences, while being nonstationary in their level form. In other words, we could not find any significant

evidence that [Ct, P,, Y,] were not integrated of order one or 1(1). s

Tests for higher orders of integration were also applied using the procedure

outlined by Dickey and Pantula (1987); however as with several other tests that

were applied, these procedures confirmed the finding that [C,, P,, Y,] were differSUsing the appropriate notation, a series x t is said to be integrated of order d, if it has an invertible

A R M A representation after being differenced d times. For example, a stationary series is indicated by

I(0), whereas a non-stationary series in levels, but stationary in first differences is indicated by 1(1).

325

Table 1

Kwiatkowski-Phillips-Schmidt Shin (KPSS) tests for mcan stationarity and Phillips Perron (PP) tests

for unit roots a

KPSS

Phillips Perron

Variable

7( Ix)

C,

t]

Yt

0.804**

0.659**

1.017"*

- 1.745

-0.637

-0.394

(-4.018)

( 8.614)

(-4.460)

-2.864

-2.747

-2.087

( 4.025)

( 8.915)

(-4.491)

Yt

0.915"*

0.902**

1.148"*

- 1.741

- 0.868

-0.849

(-3.578)

( - 5.497)

(-4.879)

- 1.818

- 1.913

-1.900

( - 3.898)

( - 5.401)

(-4.809)

Ct

Pt

Yt

0.799**

0.857**

0.983**

-0.216

-0.299

- 1.383

(-4.234)

(-6.878)

( 3.419)

-2.718

-2.191

- 1.926

( 4.073)

(-7.921)

( - 3.945)

C,

Pt

Z(t )

Z(t ,~ )

aThe KPSS test statistic tests the null hypothesis that the variable in question is mean stationary (the

5% critical value for r/(/x) is provided in Kwiatkowski et al. (1992, p. 166, Table 1)). Figures presented in

parentheses for PP tests refer to the adjacent test carried out on the variable in first-differenced (A)

form. Z(t,) is the Phillips-Perron (PP) test allowing for a drift term, whereas Z(t,,) is the PP test

allowing for a drift and a deterministic trend. The null hypothesis is that the variable under consideration contains a unit root in its autoregressive representation. The 5% critical values for a sample size of

50 pertaining to Z(t,) and Z(t~,) are -3.45 and -2.89, respectively. ** indicates rejection of the null

at the 5% level of significance.

s u r p r i s i n g g i v e n N e l s o n a n d P l o s s e r ' s (1982) f i n d i n g s t h a t m o s t m a c r o e c o n o m i c

aggregates are difference stationary processes.

Given the common integrational properties of these variables, we then proceeded

to t e s t f o r t h e p r e s e n c e o f c o i n t e g r a t i o n in t h e v e c t o r [C,, Pt, Y,] by u s i n g J o h a n s e n

and Juselius's multivariate MLE procedure. 9 Results of Johansen and Juselius's

L R a n d t r a c e tests a r e p r e s e n t e d in T a b l e 2 f o r t h e t h r e e s a m p l e p e r i o d s a n d

i n d i c a t e q u i t e c o n s i s t e n t l y t h e p r e s e n c e o f at m o s t a single c o i n t e g r a t i n g v e c t o r

a m o n g t h e set o f t h e v a r i a b l e s . T h i s is c o n c l u d e d d u e to t h e e v i d e n c e t h a t null

h y p o t h e s i s o f r = 0, by b o t h tests, is r e j e c t e d at t h e 9 5 % c r i t i c a l values. H o w e v e r , a

s i m i l a r f i n d i n g is n o t o b s e r v e d f o r t h e null o f r < 1 w h i c h c a n n o t b e r e j e c t e d in

f a v o u r o f r = 2. T h i s e v i d e n c e is also c o n s i s t e n t w i t h a n a l t e r n a t i v e c o n c l u s i o n

b a s e d o n S t o c k a n d W a t s o n (1988) t h a t t h e r e exist two i n d e p e n d e n t c o m m o n

9For a more detailed discussion of the JJ procedure than that presented in this paper, see Cuthbertson

et al. (1992), and a wide-ranging survey by Muscatelli and Hum (1992).

326

Table 2

J o h a n s e n and Juselius's tests for multiple c o i n t e g r a t i n g vectors u

Vector

H~

Hypotheses

H~

Test statistics

Max E i g e n v a l u e ( A )

Trace

[c,, g,Y~]

Panel B: S u b - S a m p l e (1953-1969)

[C,, P,, Y,]

r = 0

r _< 1

r _< 2

r > 0

r > 1

r

3

27.657**

11.204

3.182

42.043**

14.386

3.182

r = 0

r < 1

r < 2

r > 0

r > 1

r = 3

38.567**

7.182

0.878

46.627**

8.059

0.878

r

0

r < 1

r _< 2

r > 0

r > 1

r = 3

21.225"*

9.286

2.509

33.017"*

11.795

2.508

[C,,Pt,Y~]

selected by m i n i m i z i n g A k a i k e ' s F P E criteria. Critical values are sourced from J o h a n s e n and Juselius

(1990). ** indicates rejection at the 95% critical values.

stochastic trends underlying this set of variables associated with the demand

system.

Given the presence of cointegration amongst these variables, the intuition

exposed by these results is that the demand system does tend to hold in a long-run

relationship. We may now proceed to derive the long-run elasticities of price and

income with respect to demand for coal.

Stock-Watson DOES parameter estimates of the long-run parameters with all

variables appearing in levels, along with their approximate asymptotic standard

errors, appear in Table 3. This model was estimated including up to j = 4-3 leads

and lags and up to three lags of the equilibrium error without altering results to

any significant degree. The standard errors are due to Newey and West (1987) and

robust in small sample. These robust standard errors facilitate valid inference to be

made upon the coefficients of the variables entering as regressors in levels.

The results indicate fairly clearly that, even allowing for simultaneity bias, both

real price and income variables significantly influence coal consumption in China.

Interestingly, both price and income elasticities as well as being significant and of

the a priori expected signs, are close to unity in their absolute values. At least for

the income elasticity, the unity result is very similar to elasticity estimates found by

Tang and La Croix (1993), over a much smaller sample period (1985 to 1989), in

the case of aggregate energy consumption in China.

327

Table 3

S t o c k - W a t s o n dynamic OLS long-run parameter estimates of coal demand a

S t o c k - W a t s o n dynamic OLS (DOLS): B = [c, a , / 3 ] ' , X = [1, P~, Y~]

j=l

j=l

C, = B'X, + ~

j=

~7,AP,_i + ~

1

j=

hiaY~_ i + ;,

1

Variable

Const

6.6179* **

(0.1711)

-0.9914"*

(0.4956)

1.0743* * *

(0.1113)

0.8741'

(0.5216)

-0.4159'**

P~

Y~

A PI

AY~

(0.1184)

APt+ 1

A Pt I

AYt 1

AYt+ L

Re-adjusted

0.3166

(0.4094)

0.6193

(0.3509)

0.2760***

(0.0986)

0.7225**

(0.3137)

0.0933

0.9455

estimates of model 2 which are presented in Table 4. These results bring to light

several features for inferences regarding the demand for coal in China over the

sample. As can be seen, the coefficients appear to have the predicted signs and

most of them are statistically significant. A general-to-specific approach was

adopted in determining an appropriate lag structure. Further lagged dependent

variables of C t were also tried but did not turn out significant and were therefore

omitted from the regression. Income seems to have a significant and positive effect

but only up to the first lag. The fit, although high, should not be taken too seriously

as error-correction models have been known to be superior for forecasting purposes (see Tegene and Kuchler, 1994). The model also seems to be robust to

various departures from standard regression assumptions in terms of residual

correlation, heteroscedasticity, autoregressive conditional heteroscedasticity

(ARCH), misspecification of functional form, or non-normality of residuals. Stability tests conducted by plotting estimates of CUSUM and CUSUM squares suggest

328

Table 4

Vector error correction models of coal demand a

General vector error-correction specification with B = [c, a , / 3 ]', X = [1, P,, Y~]

j=k

j=!

/

j. + Y'. ~/,e,

Variable

Full sample

Constant

6.6179* * *

(0.1711)

0.5722***

(0.1178)

- 0.2125 "~

(0.1344)

-0.4243***

(0.1508)

-0.1928"*

(0.1012)

1.1875* * *

(0.1327)

- 0.5989"**

(0.1908)

0.1871"**

(0.0630)

-0.8296***

0.5886***

ACr l

APr

Ap~ i

APt 2

A y~

A Yt- t

'~t I

Price elasticity

Income elasticity

Adjustment

Length (yrs)

5.345

Statistic/test

SSR

1.3651

RZ-adjusted

0.8105

Serial correlation

LMI[ X2(I)]

2.431

LM2[ X 2(2)]

1.759

LM4[ X 2(4)]

1.479

Functional form

R E S E T [F(m,n)] 0.410

Heteroscedasticity

Het [ XZ(I)]

1.482

A R C H [ X2(1 )]

0.059

Normality

J a r q u e - B e r a [ X2(21].998

j=m

j -= 0

first subsample

0.0197

(0.0269)

0.4690***

(0.1705)

-0.8221"

(0.4811)

1.2923"* *

(0.1801)

- 0.5578"*

(0.2827)

-0.2122"*

(0.1026)

-0.8221"

0.7346***

4.7116

Summary of diagnostics

B'X,

,) + ~,

Second subsamplc

0.0211"

(0.0127)

0.6340

(0.1813)

- 0./)363

(0.0490)

-0.1415"

(0.0775)

0.0836

10.0821)

0.7048* * *

(0.1 t33)

- 0.6479* **

(0.1631 )

-0.3957***

(0.1135)

-0.2558*

0.0569***

2.5272

0.0897

0.8723

0.0038

0.7057

2.238

0.554

0.257

2.161

2.234

1.179

0.4672

0.992

0.965

0.494

0.384

0.042

2.524

1.241

~'The lag structure was specified using a general to specific approach. SSR refers to the sum of squared

residuals. Distributional properties of diagnostics are respectively: LM(I), LM(2) and LM(4) tests for

the null of 1st, 2nd and 4th order serial correlation amongst the residuals; Het: a test based on

regression of squared residuals on a constant and squares of the fitted values; A R C H : a test for

first-order autoregressive conditional heteroskedastic effects; RESET: Ramsey's REgression Specification E r r o r / ' - t e s t with (m, n) degrees of freedom; and the J a r q u e - B e r a X2(2) L M test for normality of

residuals. *** ** and * indicate significance at the 1, 5 and 10% levels.

329

that the estimated model is stable over the sample period. This result tends to

suggest that the impact of any structural change over the entire sample period,

although could be evident, at least in terms of model stability, does not appear to

be significant.

There are three noteworthy results these estimates have to offer. The first is in

terms of the importance of the real price of coal in explaining coal demand, in

terms of expected sign and statistical significance. The picture these results portray

seems to be that all variables influence demand in the short term. Prices are quite

important and this result seems to hold regardless of whether income variables are

present or not. The second interesting result is through the statistical significance

and magnitude of the error-correction term. This term (since it appears in its

levels) indicates that real prices and income do, as a component of the long-term

cointegrating relationship through the lagged error-correction term, jointly influence demand over the long term. Thirdly, most intuitively, the error-correction

term is significant with an adjustment coefficient of -0.1871, indicating that in the

case we are off the long-run demand curve, overall demand adjusts to its long-run

equilibrium level with about 18.7% of the adjustment taking place within the first

year (for a detailed interpretation of the significance of the error-correction term

in linear time-series relationships in the presence of model instability, see R.

Masih, (1996)). In other words, given there is a displacement off the long-run

demand curve, the system will take just over five consecutive years to restore a new

equilibrium. In terms of actual time, this is quite slow indicating that prices are

quite sluggish to adjust.

This also implies that coal consumption bears the brunt of any shock to the

demand system. The sign of the ECT coefficient also indicates that changes in the

demand adjust in an opposite direction to the previous period's deviation from

equilibrium. Had the error-correction term not been significant this would imply

that in this estimated model, any short-run adjustment to long-term equilibrium is

primarily through the other variables in the system and not through the channel of

coal consumption.

Finally, as one of our base goals of this analysis, the error-correction model

estimates provide a quantitative assessment of the short-run price and income

elasticity of demand. Given that we are modelling a simple linear relationship with

coal consumption as the dependent variable, the ECM provides a price elasticity

estimate of about -0.8296 for the whole sample period. This result implies that,

although at least in the short run, aggregate demand for coal should decline if the

average price per ton of coal increases, but the decline in quantity demanded is less

than proportionate. Income elasticity estimates are not unlike the short-run price

elasticity estimate, being significantly less than unity in absolute value, although

associated with the expected sign.

In order to assess to what extent there may have been a shift in the short-run

response of coal consumption to changes in prices and income, VECMs were also

specified and estimates over two subsamples incorporating the years 1953-69 in

one sample and 1970-92 in the other. This subsample analysis will also provide us

330

with further insights into whether there was any significant change in the adjustment parameter.

The sub-sample results are presented alongside the full-sample estimates in

columns 3 and 4 of Table 4. Once again, most coefficients seem to be significant

and most joint lags of price and income are associated with expected signs. A

battery of diagnostic checks does not tend to reveal any violations from standard

error assumptions or model specification. Comparing both subsamples, results for

the initial period seem to be strikingly similar to the estimates derived for the

model over the full sample period, with short-run price and income elasticities of

-0.8221 and 0.7346 respectively. The adjustment coefficient is - 0 . 2 1 1 2 indicating

that it takes about 4.7 years for demand to revert back to a new equilibrium

following an exogenous shock. These results, however, are quite in contrast to

those arrived at after estimating a VECM over the second subsample which

provides a short-run price elasticity of -0.2558 and a short-run income elasticity of

close to zero. Furthermore, the adjustment coefficient is larger (in absolute value)

in the latter sample than in the earlier period, implying a quicker adjustment

length of approximately 2.5 years.

The purpose of this paper was to present robust estimates of price and income

elasticities for coal demand in China using annual data from 1953 to 1992. Given

the time span and number of observations the data set provided, separate models

offered by the most recent developments in the econometric/time-series literature

were adopted in estimating long- and short-run price and income elasticities of

demand. In particular, to estimate long-run parameters, a recent technique robust

to simultaneity and small sample bias as well as higher orders of integration,

proposed by Stock and Watson (1993), known as Dynamic OLS was applied with its

superiority over other long-run model estimators. To estimate short-run elasticities,

which are also useful to policy makers, a statistically sound error-correction model

was employed to model the underlying short-term dynamics, without losing any

long-term information inherent in the demand system. From a methodological as

well as energy-systems modelling point of view, this study has illustrated the

statistical as well as intuitive appeal these most recent techniques have to offer for

future applied research in this area and a wide variety of other fields.

In brief, results indicated that long-run estimates of both price and income

elasticities were close to unity. An appropriate error-correction model was estimated to obtain short-run parameters for the full sample and two subsamples

incorporating the years 1953-69 and 1970-92 respectively. In all three models

short-run price and income elasticities were lower, in absolute value, than their

long-run counterparts. In a comparative sense, short-run elasticities for the entire

sample and first subsample tended to be more close to the long-run elasticity

estimates than those found purely over the latter subperiod. The adjustment of a

331

displacement from the long-run demand curve, seemed to be slightly quicker over

the 1970-92 period than the 1953-69 period.

From this empirical analysis we may draw the following conclusions which may

be of some assistance to economic policy-makers and China's economic and

resource-use plans. First, the evidence of long-run elasticities being close to unity

implies that aggregate intensity of coal consumption should remain constant as

future economic development takes place in China. Secondly, the low short-run

elasticities over the latter half of the sample period could be justified by the fact

that the rate of overall energy consumption during the 1980s, in particular, was

much lower than the rapid use of energy to foster China's economic development,

experienced during the 1950s and 1960s. Third, although there appears to be a

divergence of short-run elasticities over the two subsample periods, the overall

relationship was found to be quite robust as well as stable.

Given that coal dominates China's share of natural resource endowment and the

availability of adequate published price data, this analysis was limited to estimating

parameters involving a particular component of China's energy endowment. Moreover, a simple linear relationship was specified dictated by very fundamental

theoretical postulates. Time-series data permitting, an interesting exercise would

be to conduct similar analyses for deriving elasticities of China's other three major

conventional energy resources: oil, natural gas and hydropower. This would provide

a much broader and general overview of energy demand behaviour in China and

also contribute valuable insights into the effectiveness of China's energy price

reforms, especially in the light of its recent modernization strategies. More importantly, such analysis would also hold implications for Chinese total energy consumption and conservation policies in the prospective future.

Acknowledgements

Authors would like especially thank: Jim Stock, Soren Johansen, Jesus Gonzalo,

F. Gerard Adams, Katarina Juselius, Deane Terrell, Sean Holly, Warwick

McKibbin and Adrian Pagan for their very helpful comments and discussions; and

Sam Jegatheswaran who provided most able research assistance. The second

author would also like to acknowledge financial support provided through a

University of New South Wales Special Research Grant. Any remaining errors

a n d / o r omissions are attributable solely to the authors who also equally share

responsibility to the paper.

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