Multivariate Time series Analysis of Energy Growth Indicator in Ethiopia  from 1971 to 2015

Elias Mengst

dc.contributor.author	Elias Mengst
dc.date.accessioned	2023-07-07T07:05:10Z
dc.date.available	2023-07-07T07:05:10Z
dc.date.issued	2023-07
dc.identifier.uri	http://ir.bdu.edu.et/handle/123456789/15465
dc.description.abstract	Background: Energy is the heart of the most critical economic, environmental, and development al issues. Ethiopia is aggressively working on producing electrical energy from hydroelectric so urces. However, currently, the net energy import and power losses also increase. Therefore, this study aims to investigate the relationship between energy growth indicators in Ethiopia by using a multivariate vector autoregressive time series model. Method: A time series technique using annual data for the period 1971 to 2015 from World Bank was utilized. To achieve the underlying objectives, the study used 𝑉𝐴𝑅(1) model rather than VE CM by using the Johansen cointegration test. In the structural VAR i.e., pairwise Granger causal ity, impulse response function, and forecast error Variance decomposition were also used. Results: All study variables are nonstationary at level but stationary at the first difference in Aug mented 𝐷𝑖𝑐𝑘𝑒𝑦-𝐹𝑢𝑙𝑙𝑒𝑟 and Phillips Perron unit root test. Johansson 𝑐𝑜-𝑖𝑛𝑡𝑒𝑔𝑟𝑎𝑡𝑖𝑜𝑛 test led to applying 𝑉𝐴𝑅(1) 𝑚𝑜𝑑𝑒𝑙. VAR (1) model result showed electricity production from hydroelectric sources is significantly explained by one period lagged values of itself. Furthermore, the result i ndicated that electric power consumptions explained by one period lagged values of itself and el ectricity production from the hydroelectric source. For a 1% increase in one period lagged value of itself and electricity production from a hydroelectric source led to an increase in the current electric power consumption by 0.975% and 0.074 %, respectively in their square root form. Simil arly, Energy import and electric power loss are explained by their first lag and lagged value of e lectric power consumption. The causality result showed electricity production from hydroelectric source granger cause the electric power consumption and Energy import, consumption granger causes the energy import and electric power transmission and distribution losses in their square root form. The forecast error variance decompositions result indicates that most of the variations of the series were explained by their shock at the first horizon. Conclusion: From the short-run electricity production had a positive significant effect on the co nsumption in Ethiopia. Based on the results obtained it is recommended that the government and manager work together to raise stable consumption opportunities but should reduce energy imp ort and electric power losses. Keywords: Energy growth indicator, Co-integration, Vector Autoregressive, Structural VAR	en_US
dc.language.iso	en_US	en_US
dc.subject	Statistics	en_US
dc.title	Multivariate Time series Analysis of Energy Growth Indicator in Ethiopia from 1971 to 2015	en_US
dc.type	Thesis	en_US