Which seasonality in Italian daily electricity prices? A study with state space models
| Autor: | Paolo Chirico |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2016 |
| Předmět: |
Consumption (economics)
State-space representation business.industry Seasonality seasonal unit roots medicine.disease HEGY test Electricity prices medicine Econometrics Economics State space Unit root Electricity Autoregressive integrated moving average Electricity prices seasonal unit roots HEGY test structural space state models structural space state models business Structural approach |
| Zdroj: | Topics in Theoretical and Applied Statistics ISBN: 9783319272726 |
| Popis: | The paper presents a study of seasonality in Italian daily electricity prices. In particular, it compares the ARIMA approach with the structural state space approach in the case of seasonal data. Unlike ARIMA modeling, the structural approach has enabled us to detect, in the prices under consideration, the presence of stochastic daily effects whose intensity is slowly decreasing over time. This dynamic of seasonality is the consequence of a more balanced consumption of electricity over the week. Some causes of this behavior will be discussed in the final considerations. Moreover, it will be proved that state space modeling allows the type of seasonality, stochastic or deterministic, to be tested more efficiently than when unit root tests are used. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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