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Econometric Modelling and Forecasting of Freight Transport Demand

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Econometric Modelling and Forecasting of Freight Transport Demand

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1

ECONOMETRIC MODELLING AND FORECASTING OF FREIGHT

TRANSPORT DEMAND IN GREAT BRITAIN

Shujie Shen, Tony Fowkes, Tony Whiteing and Daniel Johnson

Institute for Transport Studies, University of Leeds, Leeds, UK, LS2 9JT

1. INTRODUCTION

Empirically derived estimates of freight transport demand elasticities and

accurate forecasts of future demand are important for freight planning and

policy making. The sensitivity of freight transport demand to the changes of its

determinants can help policy makers to evaluate alternative policy options in

controlling future freight transportation growth, emissions reductions or modal

shift. Accurate forecasts can provide information on future freight transport

levels in the appraisal of freight transport related projects and transport

policies. From the sustainability standpoint, it is important to be able to

forecast future freight volumes, so that the impacts of any environmental

policy initiatives can be compared against the do-nothing scenario.

Econometric models can not only forecast future demand but can also explain

economic or business phenomena and increase our understanding of

relationships among variables. This study applies state of the art econometric

models to the analysis of road plus rail freight transport demand in Great

Britain (GB). This work has been carried out as part of the EPSRC-funded

Green Logistics project, which examines the sustainability of logistics

systems and supply chains and is currently being undertaken by a consortium

of 6 UK universities, supported and steered by a range of project partners

including the Department for Transport and CILT (UK).

The movement of goods around GB increased markedly over the period 1978-

2007, from 178 billion tonne kilometres in 1978 to 255 billion tonne kilometres

in 2007. Road and rail have taken a substantial share of total freight

movements. In 2007, 76 percent of freight was moved by road and rail, only

24 percent by water and pipelines (DfT, 2008). Figure 1 shows the trend of the

demand for road and rail freight transport over the past 30 years. It can be

seen that the road freight demand has experienced sustained increases while

rail freight demand decreased until 1993 and has recovered since. We will

focus on the road plus rail freight demand in this study.

Due to the dominant role of road and rail in the GB freight transport sector,

modelling and forecasting GB road plus rail freight demand can provide useful

information for both transportation planners and policy makers. Six

econometric methods are applied to GB road plus rail freight transport

demand modelling and forecasting, at both aggregate and disaggregate

(commodity group) levels. The econometric models applied are: the traditional

OLS regression model, the Partial Adjustment (PA) model, the reduced

Autoregressive Distributed Lag model (ReADLM), the unrestricted Vector

Autoregressive (VAR) model, the Time-Varying-Parameter (TVP) model, and

the Structural Time Series model (STSM). Elasticity estimates with respect to

measures of economic activity are provided and the relative forecasting

accuracy of the alternative econometric models is evaluated.

Association for European Transport and contributors 2009

2

Figure 1 Demand for Road and Rail Freight Transport in GB (Goods Moved)

Source: DfT (2008)

2. BACKGROUND

In the freight demand literature, most previous studies focus on freight

demand modelling, examining elasticities or modal choice based on either

cross-section data or time series data (see for example, the surveys by

Zlatoper and Austrian, 1989; Graham and Glaister, 2004 and de Jong et al,

2004). Few studies of freight demand have employed the recent

developments in multivariate dynamic econometric time series modelling, with

notable exceptions being Bjrner (1999), Kulshreshtha, Nag and Kulshrestha

(2001) and Ramanathan (2001). Bjrner (1999) carried out an empirical

analysis on freight transport in Denmark in a cointegrating Vector

Autoregressive (VAR) system. Kulshreshtha et al. (2001) also applied the

cointegrating VAR model in modelling Indian railways freight transport

demand. Ramanathan (2001) applied a Cointegration (CI) and Error

Correction Model (ECM) in modelling and forecasting both passenger and

freight transportation demand in India. As far as we know, other recent

econometric models, such as the TVP model and the STSM, have not been

applied in the freight demand literature. Furthermore, none of the studies has

evaluated the forecasting performance of alternative models.

This paper aims to fill this gap in the literature by applying state of the art

econometric time series models to modelling the road plus rail freight demand

in GB. It presents a relatively comprehensive comparison of the forecasting

performance of these econometric forecasting models within the freight

demand context. Although the Cointegration and ECM approaches can both

illustrate the long-run equilibrium relationship between the freight demand and

Association for European Transport and contributors 2009

3

its determinants and capture the short-run dynamic characteristics of freight

demand, they are not applied in this study as the some of the data series

under examination were considered to be unsuited to cointegration analysis.

For GB freight demand econometric work, two major studies should be

mentioned here: Fowkes et al. (1993) and the National Road Traffic Forecasts

in DfT (1997). Fowkes et al. (1993) applied the traditional OLS regression

model and the PA model to estimate road freight demand for 15 commodity

groups using time series data, with the freight demand being measured both

in tonnes lifted and tonne kilometres moved. Based on that work DfT (1997)

used the OLS regression model and the PA model to generate the forecasts

of tonnes lifted as the basis for forecasting vehicle kilometres over the period

1995-2031 at sector level. By applying state of the art econometric time

series models we aim to update such earlier work, making use of the new

methods to provide further empirical evidence for the freight literature.

3. METHODOLOGY

In this paper we apply six econometric models to GB road plus rail freight

transport demand forecasting. The econometric models applied are: the

traditional OLS regression model, the PA model, the ReADLM, the VAR

model, the TVP model and the STSM. Apart from the OLS regression model,

the other econometric models have shown their advantages in previous

empirical studies in other economic fields.

Diagnostic checking is used in the study because of its importance in

econometric modelling. Normally in model selection the functional form should

be specified correctly and the final model should not exhibit autocorrelation,

heteroscedasticity and non-normality. The diagnostic tests used in the study

are as follows: the Lagrange Multiplier test for serial correlation (Breusch,

1978 and Godfrey, 1978); the Jarque-Bera test for non-normality (Jarque and

Bera, 1980); the RESET test for mis-specification (Ramsey, 1969) and the

White test for heteroscedasticity (White, 1980).

The OLS Regression Model

The traditional OLS regression model takes the form:

t

I

i

it i t

x y + + =

=1

(1)

where

t

y is the dependent variable,

it

x is the ith explanatory variable, I is the

number of explanatory variables, and

i

are the coefficients that need to be

estimated empirically,

t

is normally and independently distributed random

error with zero mean and constant variance.

The traditional regression model assumes that the data series are stationary.

Hence when the data series are not stationary there may be a problem of

spurious regression.

Association for European Transport and contributors 2009

4

The Partial Adjustment (PA) Model

The partial adjustment model has been extensively used in modelling

macroeconomic data being interpretable as a lagged effect or an adaptive

expectations process. It can be specified as follows:

t t

I

i

it i t

y x y + + + =

=

1

1

(2)

where 1 0 < ,

t

y is the dependent variable,

it

x is the ith explanatory

variable, I is the number of explanatory variables, and

i

are the

coefficients that need to be estimated empirically,

t

is normally and

independently distributed error term. The adjustment parameter, 1 ,

measures the speed of adjustment. The closer it is to 1 the faster the speed of

adjustment. For applications of the PA model see Dargay and Hanly (1999)

and Dargay and Hanly (2002).

The Reduced Autoregressive Distributed Lag Model (ReADLM)

Following the modern econometric methodology General-to-specific

approach, the specification starts with a general autoregressive distributed lag

model (ADLM). The original form of ADLM is as follows:

t

J

j

j t j

I

i

J

j

j t i ij t

y x y + + + =

=

= =

1 1 0

,

(3)

The equation incorporates as many explanatory variables as possible,

supported by appropriate economic theory, where J is the lag length which is

determined by the type of data used, I is the number of explanatory variables,

and

t

is the error term as explained above. As a general guide J=1 for annual

data, but the lag lengths may vary and are normally decided by

experimentation (see Thomas, 1997).

The reduction procedure of the Reduced ADLM is as follows. Insignificant

variables, including dummy variables, are removed from the equation one by

one. Usually the least significant variable (the one with the lowest t statistic) is

deleted from the model, and the reduced model is re-estimated. This process

is repeated until all the remaining coefficients of the variables are statistically

significant at least at the 5% significance level and have the correct signs (see

Song, Witt and Jensen, 2003).

The Time Varying Parameter (TVP) Model

The TVP model relaxes the constancy restriction on the parameters of a

traditional econometric model by allowing them to change over time. The TVP

model is normally specified in state space (SS) form:

t

I

i

it it t t

x y + + =

=1

0

(4)

Association for European Transport and contributors 2009

5

t it it

u + =

1

I i , , 1 , 0 L = (5)

where

t

y is the dependent variable,

it

x is the ith explanatory variable,

it

is

assumed to be adaptive in nature and is modelled in Equation (4) as a

random-walk.

t

and

t

u are normally and independently distributed random

errors with zero mean and constant variances.

Equation (4) is called the observation equation, and Equation (5) is known as

the state equation. Once the SS model is formulated, it can be estimated

using an algorithm known as the Kalman filter (Kalman, 1960). The Kalman

filter algorithm is a recursive procedure for calculating the optimal estimator of

the state vector given all the information available at time t. For applications of

the TVP model refer to Li et al. (2006) and Song, Romilly and Liu (1998).

The Vector Autoregressive (VAR) Model

The VAR model is an equation system in which all variables are treated as

endogenous. However, unlike the structural approach to simultaneous-

equation modelling that normally deals with endogenous variables, the VAR

approach models every endogenous variable in the system as a function of

the lagged values of all the variables in the system. The VAR model is

specified as follows:

t

I

i

J

j

j t i ij

J

j

j t j t

x y y

0

1 1

, 0

1

0 00

+ + + =

= =

t

I

i

J

j

j t i ij

J

j

j t j t

x y x

1

1 1

, 1

1

1 10 1

+ + + =

= =

M

It

I

i

J

j

j t i Iij

J

j

j t Ij I It

x y x + + + =

= =

1 1

,

1

0

(6)

where , and are coefficients and

t

are normally and independently

distributed random errors. It is important to determine the lag length of the

VAR model as too many lags will result in over-parameterisation while too few

lags will result in loss of information in forecasting. Criteria such as the

likelihood ratio (LR) statistic, Akaike Information Criterion (AIC) or Bayesian

Information Criterion (BIC) are used to determine the lag length of the VAR

model (see Song and Witt, 2006).

The Structural Time Series Model (STSM)

By including time-varying components in the regression equation, the STSM

suggested by Harvey (1989) can capture movements not explained by

explanatory variables. The model can be represented by the following form:

Association for European Transport and contributors 2009

6

t

I

i

it i t t

x y + + =

=1

(7)

where

t

y is the dependent variable;

t

and

t

are the trend and irregular

components, respectively;

it

x is the ith explanatory variable, and

i

is its

unknown parameter to estimate.

The stochastic formulation for the trend component is following Harvey (1989),

which includes level and slope:

t t t t

+ + =

1 1

(8)

t t t

+ =

1

(9)

where

t

and

t

are normally and independently distributed. The extent to

which the level and slope change over time is governed by the

hyperparameters

2

and

2

(the variances of

t

and

t

). For applications

see Dimitropoulos, Hunt and Judge (2005) and Thury and Witt (1998).

4. DATA

The analysis presented in this paper is carried out based on annual data on

the road plus rail freight demand in GB at both aggregate and commodity

group level for the period 1974-2006. The freight demand is measured in

billion tonne-kilometres moved. The time series data for both road and rail

freight demand are presented in Johnson et al. (2008). They are available by

the following commodity groups:

A: Food, Drink and Agricultural Products

B: Coal and Coke

C: Petrol and Petroleum Products

D: Metals and Ores

E: Construction

F: Chemicals and Fertiliser

G: Others, including Machines, Manufactured Goods and Miscellaneous

Mixed Loads etc.

In this paper, we are particularly interested in the elasticity of freight demand

with respect to the level of economic activity, of which the most appropriate

proxy is industrial production. Hence the freight transport demand function can

be written in the following general form:

) , ( dummies LIIP f LZK

kt kt

= (10)

where the prefix L denotes that the data series are in logarithmic form, Z for

road plus rail, K for tonne kilometres, and the subscript k refers to the

commodity group k and also for the total;

kt

IIP is the Index of Industrial

Production (2003=100) for commodity group k (and total), a proxy for the

Association for European Transport and contributors 2009

7

economic activity in that sector. The series on

kt

IIP are obtained from the

Office for National Statistics (ONS, 2009a). As there are no exact production

sectors matching the commodity group categories listed above, the closest

sectors are chosen as proxies.

In addition to the sector level

kt

IIP , other proxies of economic activity were

tried in the models by way of comparison. These include: the Gross Domestic

Product (GDP) of the UK in constant prices (2003=100), the total production

output plus total imports (

t

IIPIM measured in tonnes) and the aggregate

t

IIP .

The series on GDP were obtained from the International Financial Statistics

Yearbooks published by the International Monetary Fund (IMF). In the

absence of a data series for

t

IIPIM , measured in tonnes, this was derived

from an index of IIP and the known tonnes for one particular year, to which

tonnes of imports for each year were then added.

Dummy variables are included in the models to capture the effects of one-off

events on the road plus rail freight demand in GB when appropriate. Among

them DUM84 represents the UK miners strike in 1984 (DUM84=1 in 1984, 0

otherwise) and is included in the models for Commodity B (Coal and Coke).

DUM81 and DUM86 represent oil price shocks of 1981 and 1986, respectively

(DUM81=1 in 1981 and 0 otherwise; DUM86=1 in 1986 and 0 otherwise).

They are included in the models for Commodity C (Petrol and Petroleum

Products). DUM80 is included in the models for Commodity D (Metals and

Ores) and Total to represent the steel workers strike in 1980 (DUM80=1 in

1980 and 0 otherwise). These events may have negative effects on the GB

road plus rail freight demand. DUM88 is a level dummy variable, representing

an upward shift in the data series of road plus rail freight demand for

Commodity G (Others) since 1988 (DUM88=1 in 1988 and onwards, 0

otherwise).

We also experimented with a price variable. In the absence of information on

actual freight prices due to commercial confidentiality, an index of real road

operating costs was used as a proxy. These were calculated using figures

from the SOFTICE study (Gacogne et al, 1999) and then updated with more

recent figures from the RHA (2009), all deflated by the Retail Prices Index

(ONS, 2009b).

5. EMPIRICAL RESULTS

5.1 Estimation Results of the Econometric Models

The six econometric models are used to model and forecast GB road plus rail

freight demand at both aggregate and disaggregate levels. The STSM is

estimated using STAMP 7.0, and the others using Eviews 6.0. Models were

estimated using a range of proxies of economic activity (i.e. GDP, IIPIM

t

and

IIP

t

) as well as those with IIP

kt

, and price variables were also included. Due to

the space constraint the full estimation results are not presented in this paper

but are available upon request. The estimation results of the models with IIP

kt

Association for European Transport and contributors 2009

8

are presented in Tables 1 to 6 respectively, based on the full sample period

1974-2006.

OLS Regression Models

Table 1 shows that industrial production is an important determinant of the

road plus rail freight transport demand in GB, judged by the significance of the

coefficient estimates in all the cases. For one-off events, the UK miners strike

in 1984 had an adverse influence on the freight demand for Coal & Coke (B).

The oil price shock in 1986 has been shown to affect the road plus rail freight

demand for Petrol and Petroleum Products (C) adversely. The Steel workers

strike in 1980 had negative effect on road plus rail freight demand for Metals

and Ores (D) but is not significant in the model for Total demand. The level

dummy variable DUM88 is significant in the model for Others (G), which

confirmed that there is an upward shift in the road plus rail freight demand

series for this sector.

Table 1 Estimation Results of the OLS Regression Models

ZKA ZKB ZKC ZKD ZKE ZKF ZKG ZKTOT

Constant

-11.575**

(0.575)

1.555**

(0.177)

-0.613

(0.712)

-1.863*

(0.756)

0.281

(0.165)

1.619**

(0.275)

-0.709

(2.075)

-1.503**

(0.278)

LIIP

kt

3.388**

(0.127)

0.108**

(0.031)

0.562**

(0.151)

0.924**

(0.162)

0.701**

(0.038)

0.159*

(0.065)

0.964*

(0.475)

1.467**

(0.062)

DUM80

-0.149*

(0.083)

-0.033

(0.048)

DUM81

-0.111

(0.072)

DUM84

-0.461**

(0.133)

DUM86

-0.248**

(0.070)

DUM88

0.397**

(0.115)

2

R

0.957 0.420 0.453 0.546 0.914 0.136 0.834 0.948

S.E. 0.057 0.131 0.068 0.080 0.044 0.103 0.138 0.047

NORM(2) 0.670 1.837 0.468 0.211 1.003 0.854 1.843 1.381

LMSC(2) 8.631* 17.881** 2.180 15.889** 7.843* 12.314** 21.635** 29.522**

HETRO(1) 0.005 9.657** 0.720 0.477 0.216 1.152 4.535* 1.692

RESET(1) 1.378 57.887** 1.821 6.112* 0.941 48.117** 18.001** 22.472**

Notes: * and ** indicate that the estimates are significantly different from 0 at 5% and 1%

levels respectively. Values in parentheses are standard errors. NORM(2) is the Jarque-Bera

normality test, LMSC(2) is the Lagrange multiplier test for serial correlation, HETRO(1) is the

heteroscedasticity test, RESET(1) is Ramseys misspecification test.

Association for European Transport and contributors 2009

9

Only in the case of commodity group C did the models pass all of the

diagnostic tests at the 5% significance level. The models are subject to the

problem of serial correlation in all of the other cases. The model for the Total

demand failed the misspecification test at the 1% significance level. The fact

that the models failed at least one diagnostic test in seven out of the eight

cases is not surprising, as the disadvantage of the OLS regression model is

that when the data series are not stationary a problem of spurious regression

will occur.

PA Models

By including the demand in the previous period in the model, the PA model

brings the dynamic partial adjustment process into the traditional regression

model. Table 2 shows the estimated results.

Table 2 Estimation Results of the PA Models

ZKA ZKB ZKC ZKD ZKE ZKF ZKG ZKTOT

Constant

-3.330*

(1.510)

0.868**

(0.258)

-0.579

(0.704)

-0.912

(0.774)

0.167

(0.178)

0.811*

(0.326)

-1.098

(0.752)

-0.511**

(0.182)

LZK

kt-1

0.699**

(0.123)

0.477**

(0.141)

0.360*

(0.145)

0.571**

(0.142)

0.256

(0.154)

0.610**

(0.159)

0.840**

(0.059)

0.670**

(0.072)

LIIP

kt

0.990*

(0.432)

0.048

(0.032)

0.400*

(0.171)

0.421*

(0.211)

0.531**

(0.109)

0.020

(0.062)

0.385*

(0.182)

0.490**

(0.110)

DUM80

-0.237**

(0.071)

-0.092**

(0.026)

DUM81

-0.112

(0.066)

DUM84

-0.527**

(0.117)

DUM86

-0.204**

(0.068)

DUM88

0.019

(0.048)

2

R

0.977 0.566 0.548 0.699 0.917 0.387 0.979 0.986

S.E. 0.041 0.113 0.063 0.065 0.043 0.084 0.047 0.024

NORM(2) 6.108* 0.313 1.998 0.475 1.930 2.486 0.485 2.793

LMSC(2) 3.963 7.928* 2.598 1.059 5.744 3.397 1.419 14.511**

HETRO(1) 0.809 4.203* 0.510 0.207 0.155 0.699 2.599 0.293

RESET(1) 0.0003 5.543* 0.405 1.418 0.032 0.015 4.796* 0.521

Notes: Same as Table 1.

Association for European Transport and contributors 2009

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The estimated coefficients of the

kt

IIP are significant and have the expected

sign for all commodity groups apart from B and F, which again confirms that

industrial production is the key determinant of GB road plus rail freight

demand at both aggregate and disaggregate level. The estimated coefficients

for Coal & Coke (B) and Chemicals & Fertiliser (F) are not significant but have

the anticipated sign. The lagged dependent variables are significant in all the

cases except Construction (E). For one-off events, DUM84 is significant with

right sign in the model for Coal & Coke (B), and the oil price shock in 1986

affected the road plus rail freight demand for Petrol and Petroleum Products

(C) adversely. The Steel workers strike in 1980 had a negative effect on road

plus rail freight demand for Metals and Ores (D) and on Total demand. The

level dummy variable DUM88 is not significant in the model for Others (G).

The PA models passed all the diagnostic tests in four out of the eight cases.

The model for Coal & Coke (B) failed three diagnostic tests. The models

passed all but one tests in the other three cases.

Reduced ADLM

The initial specification of the general ADLM includes all possible variables.

The lag length of the ADLM is set to be one (J=1) as the data we used is

annual data. The final models are achieved by dropping the variables with

coefficients that are incorrectly signed and / or insignificant. Results for these

reduced ADLMs are presented in Table 3.

The estimates of the Reduced ADLM suggest that the industrial production in

the current period shows its significant impact on the road plus rail freight

demand in GB in all of the cases except commodity groups B and F.

Moreover, the industrial production in the previous year has an influence on

the road plus rail freight demand for commodity groups D and G. The lagged

dependent variables are significant in all the cases except Construction (E).

The oil price shock in 1986 had negative effect on the freight demand for

commodity group C. The steel workers strike affected the total demand

adversely. Only in four out of eight cases did the models pass all of the

diagnostic tests.

VAR Model

The specification of the VAR model starts with an unrestricted form. Dummies

are regarded as exogenous variables in VAR models. The maximum lag

length of the VAR model is set to be 3 for the purpose of identifying the

appropriate lag structure of the VAR models. The optimal lag structure of the

VAR model is decided on the AIC and BIC with the adjusted Likelihood Ratio

(LR) being considered as references. The estimates of the VAR models are

presented in Table 4.

The

1 kt

IIP variable is only significant in the case of Construction (E). The

lagged dependent variable features in all the cases. This suggests that the

lagged dependent variable is the key determinant of road plus rail freight

demand in GB. All of the dummy variables are significant and have expected

Association for European Transport and contributors 2009

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Table 3 Estimation Results of the Reduced ADLMs

Notes: Same as Table 1.

ZKA ZKB ZKC ZKD ZKE ZKF ZKG ZKTOT

Constant

-3.330

(1.510)

1.035**

(0.339)

-0.905

(0.700)

-0.718

(0.767)

0.281

(0.165)

0.838*

(0.311)

-0.669

(0.440)

-0.511**

(0.182)

LZK

kt-1

0.699**

(0.123)

0.517**

(0.158)

0.352*

(0.150)

0.689**

(0.151)

0.636**

(0.135)

0.920**

(0.049)

0.670**

(0.072)

LIIP

kt

0.990*

(0.432)

0.472*

(0.171)

1.187**

(0.239)

0.701**

(0.038)

0.837**

(0.168)

0.490**

(0.110)

LIIP

k,t-1

-0.871**

(0.239)

-0.614**

(0.180)

DUM80

-0.092**

(0.026)

DUM81

DUM84

DUM86

-0.206**

(0.070)

DUM88

2

R

0.977 0.239 0.518 0.714 0.914 0.405 0.985 0.986

S.E. 0.041 0.150 0.065 0.063 0.044 0.082 0.040 0.024

NORM(2) 6.108* 23.319** 1.653 0.051 1.003 2.162 0.058 2.793

LMSC(2) 3.963 1.298 0.686 3.430 7.843* 1.478 2.429 14.511**

HETRO(1) 0.809 0.132 0.596 0.118 0.216 0.205 1.692 0.293

RESET(1) 0.0003 5.711* 0.575 0.313 0.941 0.072 3.869 0.521

Association for European Transport and contributors 2009

12

Table 4 Estimation Results of the VAR models

Notes: Same as Table 1.

Table 5 Estimation Results of the TVP Models

Notes: Same as Table 1.

ZKA ZKB ZKC ZKD ZKE ZKF ZKG ZKTOT

Constant

-1.441

(1.688)

0.894**

(0.265)

0.302

(0.696)

0.339

(0.758)

0.155

(0.217)

0.831*

(0.328)

1.308

(0.746)

-0.167

(0.237)

LZK

kt-1

0.848**

(0.139)

0.516**

(0.155)

0.447**

(0.158)

0.734**

(0.164)

0.440*

(0.217)

0.629**

(0.159)

0.915**

(0.066)

1.277**

(0.200)

LZK

kt-2

-0.546**

(0.197)

LIIP

kt-1

0.450

(0.485)

0.028

(0.038)

0.175

(0.171)

0.066

(0.218)

0.396*

(0.159)

0.005

(0.064)

-0.226

(0.187)

0.071

(0.249)

LIIP

kt-2

0.273

(0.264)

DUM80

-0.293**

(0.073)

-0.132**

(0.027)

DUM81

-0.141*

(0.070)

DUM84

-0.559**

(0.120)

DUM86

-0.160*

(0.070)

DUM88

0.113*

(0.046)

2

R

0.974 0.540 0.477 0.658 0.875 0.385 0.977 0.983

S.E. 0.044 0.117 0.068 0.069 0.053 0.084 0.050 0.026

LMSC(2) 4.013 4.220 3.308 3.421 2.972 5.325 1.944 1.583

NORM(2) 5.882 0.873 3.356 2.235 1.967 10.495* 2.194 2.128

HETRO(1) 9.104 25.743* 12.783 13.202 17.209 29.424** 25.610* 26.374

ZKA ZKB ZKC ZKD ZKE ZKF ZKG ZKTOT

Constant -3.201

(2.050)

1.924**

(0.484)

0.678

(0.857)

-1.903*

(0.903)

0.775

(0.763)

0.764

(1.186)

0.751

(0.777)

0.927

(0.658)

LIIP

kt

1.569**

(0.442)

0.099

(0.118)

0.310*

(0.183)

0.892**

(0.194)

0.599**

(0.164)

0.296

(0.253)

0.761**

(0.169)

0.958**

(0.143)

DUM80 -0.105 -0.035

DUM81 -0.044

DUM84 -0.506

DUM86 -0.124

DUM88 0.108

Log

likelihood

39.097 8.288 21.456 29.050 34.988 17.429 37.935 56.551

SC -2.051 -0.078 -0.771 -1.337 -1.803 -0.738 -1.875 -3.003

Association for European Transport and contributors 2009

13

Table 6 Estimation Results of the STSMs

Note: * and ** indicate that the estimates are significant at the 5% and 1% levels, respectively.

Values in parentheses are standard errors. HETRO is the heteroscedasticity test and Q-

statistic is the Box-Ljung Q-statistic test for residual serial correlation.

ZKA ZKB ZKC ZKD ZKE ZKF ZKG ZKTOT

Hyperparameters

Level 0.00110 7.083e-5 0.00349 0.000354 6.155e-6 0 0.001485 0

Slope 0 0.000313 2.692e-7 8.389e-5 0 5.146e-5 0 0.000566

Irregular 0.000334 0.003972 0.003189 0.001465 0.001757 0.004047 0 0

Coefficients

Level

0.079

(2.346)

0.714

(0.590)

-0.385

(0.770)

-2.940**

(0.755)

-0.641

(0.518)

-2.614

(1.353)

1.381

(0.743)

2.025**

(0.585)

Slope

0.017*

(0.007)

0.120**

(0.034)

0.003

(0.004)

-0.036

(0.018)

-0.004

(0.002)

-0.047**

(0.017)

0.025**

(0.007)

0.014

(0.024)

LIIP

kt

0.862*

(0.506)

0.383*

(0.141)

0.528**

(0.164)

1.126**

(0.162)

0.897**

(0.111)

1.028**

(0.288)

0.628**

(0.165)

0.720**

(0.127)

Dum80

-0.080

(0.047)

-0.042**

(0.010)

Dum81

-0.086

(0.063)

Dum84

-0.252*

(0.135)

Dum86

-0.205**

(0.065)

Dum88

0.087*

(0.042)

Diagnostic Tests

Normality 3.759 4.756 0.518 2.318 1.833 3.981 3.567 10.084**

H(8) 0.646 9.440* 1.089 2.106 0.387 2.910 0.131 1.411

DW 2.068 2.019 2.003 1.912 1.360 1.727 1.366 1.837

Q -statistic 4.132 3.880 0.668 1.390 12.387** 5.336 2.214 6.305

Rd

2

0.086 0.720 0.378 0.596 0.392 0.226 0.481 0.613

Se 0.040 0.087 0.063 0.055 0.043 0.077 0.037 0.022

Association for European Transport and contributors 2009

14

signs. The models passed all the diagnostic tests in five out of the eight

cases.

TVP Models

Results for the TVP models, estimated using the Kalman filter algorithm, are

presented in Table 5. It should be noted that in TVP models dummy variables

are treated as exogenous variables whose parameters do not vary with time.

However, the significance of the dummy variables is not reported by the

Eviews 6.0 programme. The parameters reported are the estimates at the end

of the sample period.

The coefficients of the

kt

IIP have the expected signs and are significant in all

cases but two, i.e., Coal & Coke (B) and Chemicals & Fertiliser (F), which is

consistent with the results from some of the fixed parameter models. This

suggests that industrial production explains well the road plus rail freight

demand in GB.

STSM

By including a stochastic trend component in the regression equation, one can

capture movement in freight demand series which is not explained by the

explanatory variables included and would otherwise be left in the residuals.

Table 6 shows that

kt

IIP is significant in all of the cases. For one-off events,

DUM84 is significant with right sign in the model for Coal & Coke (B), and the

oil price shock in 1986 affected the road plus rail freight demand for Petrol and

Petroleum Products (C) adversely. The steel workers strike in 1980 had

negative effect on Total demand. The level dummy variable DUM88 is

significant in the model for Others (G). The models passed all of the

diagnostic tests in five out of the eight cases.

5.2 Long-run Elasticity Analysis

The long-run elasticities from the OLS regression model, the TVP model and

STSM are obtained directly from the estimated coefficients of the independent

variables in the models. For the PA model, reduced ADLM and VAR model,

the lagged variables are treated as the current values of the variables in the

long-run and the elasticities are calculated using the estimated coefficients of

the explanatory variables. Taking the PA model as an example, the long-run

income elasticities are calculated as the estimated coefficient of the industrial

production variable (IIP) divided by the adjustment coefficient ( 1 ), where

is the estimated coefficient of the lagged dependent variable.

Estimates of long-run elasticities of road plus rail freight transport demand

with respect to industrial production (economic activity) from alternative

econometric models are compared. The results are presented in Table 7.

Association for European Transport and contributors 2009

15

Table 7 Comparison of Estimated Elasticities with respect to Industrial

Production

Note: * and ** indicate that the elasticities are based on estimated parameters significant at

the 5% and 1% levels, respectively. - denotes that the variable is insignificant in the reduced

ADLM and hence was deleted in the estimation procedure.

It can be seen that the estimated elasticity values vary across commodity

groups, which indicates that the composition of the economy has an influence

on income elasticities of the demand for road plus rail freight in GB. The OLS

regression model, the PA model and the reduced ADLM are more consistent

with each other in terms of the significance of variables and the magnitudes of

estimated elasticity values, while the results from the TVP model and STSM

are similar to each other.

The elasticities of road plus rail freight demand with respect to economic

activity (which is a form of income elasticity) vary across different commodity

groups. This indicates different sensitivity to variations in industrial production

for different market sectors. The actual magnitude of income elasticity

estimates also vary due to the different models estimated. For Food Drink &

Agricultural Products (Group A), the income elasticities from the OLS

regression model and the PA model (the reduced ADLM collapses to the PA

model in this case) are consistent but extremely high (3.388 and 3.289). The

derived income elasticity from the VAR model is similarly high at 2.961. The

values from the TVP model and the STSM are 1.569 and 0.862 respectively.

This gives the range of income elasticity from 0.862 to 3.388 in this sector,

which is rather wide.

Excluding the results from the VAR model which are extremely variable and

often insignificant, the ranges for elasticities for other commodity groups are

as follows. For the Coal & Coke (B) sector, the estimated income elasticities

Commodity Group

Model

Type

A B C D E F G Total

Static 3.388** 0.108** 0.562** 0.924** 0.701** 0.159* 0.964* 1.467**

PA 3.289* 0.092 0.625* 0.981* 0.714** 0.051 2.406* 1.485**

ReADLM 3.289* - 0.728* 1.016** 0.701** - 2.788** 1.206**

VAR 2.961 0.058 0.316 0.248 0.707* 0.013 -2.659 1.279

TVP 1.569** 0.099 0.310* 0.892** 0.599** 0.296 0.761** 0.958**

STSM 0.862* 0.383* 0.528** 1.126** 0.897** 1.028** 0.628** 0.720**

Association for European Transport and contributors 2009

16

are dubiously low, ranging from 0.092 to 0.383. The ranges for Petrol &

Petroleum Products (C) and Construction (E) are relatively narrow: 0.310-

0.728 and 0.599-0.897 respectively. For the Metals & Ores sector (D), the

estimated elasticity values are close to 1, in the range 0.892-1.126. In the

case of Others (G), the range is wider, between 0.628 and 2.788. As far as

the total road plus rail freight demand is concerned, the range of the income

elasticity is from 0.720 to 1.485.

Close inspection of the data suggests that these elasticity estimates, whilst

informative, are likely to be contaminated with other trend effects. We made

many other attempts to disentangle these effects, but no better results were

obtained.

5.3 Ex Post Forecasting Comparison

The chosen models are used to generate forecasts of the GB road plus rail

freight demand for each commodity group, as well as for total road plus rail

freight demand, over the period 1999-2006. For each model, the recursive

forecasting technique is used to generate forecasts, i.e., the models are

estimated over the period 1974-1998 first, and the estimated models are used

to forecast road plus rail freight demand over the period 1999-2006.

Subsequently the models are re-estimated using the data from 1974 to 1999

and forecasts are generated for the period 2000-2006. Such a procedure is

repeated until all observations are exhausted. As a result, 8 one-year-ahead

forecasts, 6 three-year-ahead forecasts, and 4 five-year-ahead forecasts are

generated. The ex post forecasting performances of the models are evaluated

based on a measure of error magnitude: the mean absolute percentage error

(MAPE). MAPE is defined as

100

/

=

n

Y Y Y

MAPE

t

n

t

t t

(11)

where

t

Y

and

t

Y are respectively the forecast and actual values and n the

number of forecast observations. The smallest values of the MAPE indicate

the most accurate forecasts. The forecasting performances of the alternative

models are ranked based on MAPE and the results are reported in Table 8.

One-year-ahead forecasts

Table 8 shows that for one-year-ahead forecasts, the STSM is the most

accurate forecasting model in five out of the eight cases. The TVP model

performs best in two cases, followed by the Reduced ADLM and OLS

regression model for one case each (the Reduced ADLM model collapses to

the OLS regression model in the case of commodity group E). On the basis of

the number of occasions when each model is either the most accurate or the

second most accurate forecasting model, the STSM is ranked first followed by

the TVP model.

Association for European Transport and contributors 2009

17

Table 8 Forecasting Accuracy of Alternative Econometric Models based on MAPE

Forecast Horizon

Forecasting

Method ZKA ZKB ZKC ZKD ZKE ZKF ZKG ZKTOT

1-year-ahead OLS Regression 1.472%(6) 10.348%(6) 3.506%(5) 3.033%(4) 0.629%(1=) 7.125%(6) 4.916%(6) 0.963%(6)

PA 0.826%(2=) 8.904%(5) 3.016%(3) 2.021%(2) 0.699%(4) 5.192%(5) 0.525%(5) 0.321%(4=)

ReADLM 0.826%(2=) 8.678%(3) 3.502%(4) 2.067%(3) 0.629%(1=) 4.760%(4) 0.363%(3) 0.321%(4=)

VAR 0.958%(4) 8.784%(4) 2.974%(2) 3.103%(5) 0.841%(6) 4.728%(3) 0.327%(2) 0.290%(2)

TVP 0.750%(1) 6.360%(2) 3.537%(6) 1.996%(1) 0.778%(5) 4.511%(2) 0.489%(4) 0.291%(3)

STSM 0.994%(5) 6.056%(1) 2.686%(1) 3.258%(6) 0.678%(3) 4.404%(1) 0.304%(1) 0.211%(1)

3-year-ahead OLS Regression 1.241%(2) 15.385%(5) 3.491%(5) 3.252%(1) 0.351%(2=) 9.412%(6) 5.623%(6) 1.364%(6)

PA 1.331%(3=) 15.265%(4) 3.206%(4) 3.571%(2) 0.345%(1) 7.692%(4) 1.222%(5) 0.641%(2=)

ReADLM 1.331%(3=) 13.552%(3) 3.784%(6) 3.786%(3) 0.351%(2=) 6.151%(2) 0.759%(3) 0.641%(2=)

VAR 1.806%(5) 19.996%(6) 2.068%(2) 5.505%(5) 1.473%(6) 8.229%(5) 0.676%(2) 0.759%(5)

TVP 0.716%(1) 12.224%(2) 2.231%(3) 3.838%(4) 0.803%(5) 6.286%(3) 1.219%(4) 0.723%(4)

STSM 2.214%(6) 9.240%(1) 1.441%(1) 5.865%(6) 0.501%(4) 5.595%(1) 0.669%(1) 0.617%(1)

5-year-ahead OLS Regression 1.477%(2) 19.752%(5) 4.324%(5) 3.872%(1) 0.306%(2=) 11.654%(5) 6.433%(6) 1.752%(6)

PA 1.972%(3=) 19.643%(4) 4.041%(4) 4.177%(2) 0.265%(1) 10.555%(4) 2.027%(4) 0.793%(1=)

ReADLM 1.972%(3=) 17.804%(3) 4.632%(6) 4.757%(3) 0.306%(2=) 9.051%(3) 0.944%(1) 0.793%(1=)

VAR 3.207%(5) 31.903%(6) 2.148%(1) 7.131%(5) 3.094%(6) 11.732%(6) 1.286%(3) 0.908%(3)

TVP 0.987%(1) 16.679%(2) 3.671%(3) 5.999%(4) 1.040%(5) 8.630%(2) 2.049%(5) 1.226%(4)

STSM 3.641%(6) 11.169%(1) 2.759%(2) 9.757%(6) 0.331%(4) 7.981%(1) 1.035%(2) 1.254%(5)

Note: The figures in parentheses are rankings.

Association for European Transport and contributors 2009

18

The least accurate forecasting model is the traditional OLS regression model,

due to the fact that it performs worst in five out of the eight cases. The VAR

model, the STSM and the TVP model generate the least accurate forecasts in

one case each, but as stated above, the latter two otherwise perform well.

When the criterion is based on the number of occasions when each model is

either the least accurate or the second least accurate forecasting model,

again the OLS regression model exhibits the worst forecast performance,

followed by the PA model and the VAR model.

Three-year-ahead forecasts

At the three-year-ahead forecasting horizon, the STSM performs consistently

well, being ranked top in five out of the eight cases, whilst the TVP, PA and

OLS regression models generate the best forecasts in just one case each.

Based on the criterion of the most accurate or second most accurate

forecasting model, the STSM is still the best. It is difficult to differentiate

between the PA model, the reduced ADLM and the OLS regression models

on this basis, but as the PA model never generates the worst forecasts, it is

considered to be the second best forecasting model following the STSM. The

OLS regression model is ranked bottom in three cases, followed by the VAR

model and STSM in two cases each. The PA and ReADLM models are each

better than the STSM model for three out of the seven commodity groups, and

close for the total. Despite the fact that the STSM is ranked bottom in two

cases, it is still considered the best performing model as it generates the most

accurate forecasts in most of the cases. When the criterion is the least

accurate or second least accurate forecasting model, the VAR model seems

to be the worst performing model followed by the OLS regression model.

Five-year-ahead forecasts

For five-year-ahead forecasts, the PA model, the reduced ADLM and STSM

each generate the most accurate forecasts in two out of the eight cases.

According to the most accurate or second most accurate criterion, the STSM

is in the lead (four cases), followed by the PA model and reduced ADLM

(three cases each). However, the STSM is ranked bottom twice and the

reduced ADLM generates the least accurate forecasts once, whereas the rank

of the PA model never drops below fourth place. It can be concluded that the

PA model is the best performing model for five-year-ahead horizon, followed

by the STSM and the reduced ADLM.

As far as the least accurate forecasting model is concerned, the VAR model

performs worst in three cases, followed by the OLS model and STSM in two

cases. If the criterion is the least accurate or second least accurate

forecasting model, the VAR model and the OLS regression model are ranked

equal. On the basis that the VAR model is ranked bottom more often than the

OLS regression model, the VAR model could be considered the worst

performing model for five-year-ahead horizons.

As might be expected, MAPE shows a tendency to rise as the forecast

horizon increases. This can be seen for example in the case of total road and

rail freight (the final column in Table 8). Moreover, the MAPE for the PA and

Association for European Transport and contributors 2009

19

ReADLM models tends to rise less quickly than for the other model forms. We

concluded that for long-term (i.e. 5+ years) forecasts, the PA or its

generalisation ReADLM are to be preferred.

6. CONCLUSIONS

In this study, six econometric time series models have been applied to

modelling and forecasting the road plus rail freight demand in GB, based on

annual time series data for the period 1974-2006. These models comprise:

the traditional OLS regression model, the PA model, the reduced ADLM, the

unrestricted VAR model, the TVP model and the STSM. The empirical

analysis is carried out at both aggregate and disaggregate levels. The relative

forecasting accuracy of alternative models has been evaluated based on

MAPE in the context of freight demand.

The estimation results show that industrial production generally offers a good

explanation of road plus rail freight demand in GB. However, the sensitivity of

road plus rail freight demand to the change in the industrial production varies

across different commodity groups, as different commodities have different

transport requirements and each estimate reflects particular circumstances for

each commodity group. The actual magnitudes of income elasticity estimates

also vary due to the different models estimated. The ranges of estimated

income elasticity for different sectors have been provided. This information will

be valuable for transport planners and policy makers.

The forecasting performance comparison results show that no single model

outperforms the others in all situations. Overall, it can be concluded that for

short-term (one-year-ahead) forecasting, the STSM is the best forecasting

model, followed by the TVP model. For medium-term (three-year-ahead)

forecasting the STSM is superior to its competing models, followed by the PA

model. For relatively longer horizons (five-year-ahead in this study), the PA

model and reduced ADLM seem to perform best although the STSM is not far

behind. Forecasting horizons do seem to have an effect on the forecasting

performance of different models. The STSM seems to perform better for short

to medium term horizons, whereas the PA model outperforms others for

longer term horizons. The TVP model generally performs better in the short-

term (one-year-ahead) than for longer-term forecasting. This gives the policy

makers useful information when they need to choose between different

forecasting tools.

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