Authors conclude the ARDL approach (Pesaran et al. 1996,1998) has the best forecasting performance and is preferred to EG-ECM and FMLS; the ARDL short-run own-price elasticity is obs 935 (-0.18). || Abstract: 'We identify the model with the smallest forecasting error ... and conclude that the new ARDL approach of Pesaran et al., has better forecasting performance than the other approaches considered.' (p.75); Conclusion p.95: 'When we use the GMRAE forecast error measure, we found that the ARDL is still preferable to the other models.'
Fatai, K., L. Oxley, and F.G. Scrimgeour (2003): “Modeling and Forecasting the Demand for Electricity in New Zealand: A Comparison of Alternative Approaches.” The Energy Journal 24(1), 75-103