Forecasting Long-Run Coal Price in China: A Shifting Trend Time-Series Approach

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	Forecasting Long-Run Coal Price in China: A Shifting Trend Time-Series Approach
	Dong, Baomin ; Li, Xuefeng ; Lin, Boqiang ; Lin BQ(林伯强)
刊名	http://dx.doi.org/10.1111/j.1467-9361.2010.00567.x
	2010-08
关键词	OIL PRICE COINTEGRATION HYPOTHESIS INFERENCE DEMAND MODELS SHOCK
英文摘要	The paper studies the behavior of mid- to long-run real coal price in the Chinese market. The problem is of great importance because the coal takes a 70% share in China's energy mix, and China is the world's second largest carbon emitter. An accurate forecast in coal price is crucial in predicting China's future energy consumption mix as well as the private sector's energy-type-related investment decisions. In estimation and forecasting, the shifting trend time-series model suggested by Robert Pindyck is used to capture the technological progress that is unobservable to the econometrician. It is found that the shifting trend model with continuous and random changes in price level and trend outperforms plain vanilla ARIMA models. It is argued that the model postulated by Pindyck is robust even in a transition economy where energy prices are subject to relatively rigid regulatory control. Out-of-sample forecasts are provided.
语种	英语
出版者	REV DEV ECON
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90095]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	Dong, Baomin,Li, Xuefeng,Lin, Boqiang,et al. Forecasting Long-Run Coal Price in China: A Shifting Trend Time-Series Approach[J]. http://dx.doi.org/10.1111/j.1467-9361.2010.00567.x,2010.
APA	Dong, Baomin,Li, Xuefeng,Lin, Boqiang,&林伯强.(2010).Forecasting Long-Run Coal Price in China: A Shifting Trend Time-Series Approach.http://dx.doi.org/10.1111/j.1467-9361.2010.00567.x.
MLA	Dong, Baomin,et al."Forecasting Long-Run Coal Price in China: A Shifting Trend Time-Series Approach".http://dx.doi.org/10.1111/j.1467-9361.2010.00567.x (2010).