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Estimation of Residential Electricity Demand in Korea Allowing for a Structural Break

장성연
한국계량경제학회|2020.12|계량경제학보 (Journal of Economic Theory and Econometrics)|제31권 제4호|pp. 69-85|DOI 10.22812/jetem.2020.31.4.003

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참고문헌

키워드

KoreaCointegrationPrice ElasticityResidential Electricity DemandStructural BreaksUnit Root
주제분류경제학

초록

This study examines the time series characteristics of residential electricity demand and its determinants in Korea and the short-run and long-run relationship among them. We employ unit root tests, cointegration, and error-correction models on annual time series for the period 1972--2019. The rapid development of Korea over this period provides clear evidence of the possibility of structural breaks. We find that residential electricity demand and its determinants are trend-stationary processes with a slope change, which implies that there is no need to invoke cointegration methods under the unit root assumption. We expect that the essential modeling strategy presented in this article will be widely applicable.

Abstract

This study examines the time series characteristics of residential electricity demand and its determinants in Korea and the short-run and long-run relationship among them. We employ unit root tests, cointegration, and error-correction models on annual time series for the period 1972--2019. The rapid development of Korea over this period provides clear evidence of the possibility of structural breaks. We find that residential electricity demand and its determinants are trend-stationary processes with a slope change, which implies that there is no need to invoke cointegration methods under the unit root assumption. We expect that the essential modeling strategy presented in this article will be widely applicable.

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