The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distributed lag (ARDL) model in estimating energy demand relationships. Recent research, however, shows that the ARDL model remains valid when the underlying variables are non-stationary, provided the variables are cointegrated. In this paper, we use the ARDL approach to estimate a demand relationship for Danish residential energy consumption, and the ARDL estimates are compared to the estimates obtained using cointegration techniques and error-correction models (ECM's). It turns out that both quantitatively and qualitatively, the ARDL approach and the cointegration/ECM approach give very similar results. (C) 2001 Elsevier Science Ltd. All rights reserved.