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Modelling daily series of economic activity

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  • Espasa, Antoni

Abstract

The behavior of daily series of economic activity like the consumption of electric energy, cash withdrawn from financial institutions, number of passengers in a transport service, pollution and traffic levels, sales, etc., is very often characterised by showing oscillating levels or trends and several complex seasonalities. Besides, these series are sensible to: (1) the presence of holidays; (2) vacation periods and; (3) the end and beginning of month. Finally, these series suffer, in general, from the influence of meteorological variables and in many cases the effects are nonlinear, dynamic and change with the type of the day -weekdays or weekends or holidays- and season of the year. The levels of these series show so complex trends and oscillations that the process of their modelling becomes very difficult. Nevertheless, because such oscillations correspond to behaviour patterns of the economic agents the modelling task is not only feasible but also very rewarding. The paper specifies the main characteristics of daily series of economic activity; analyzes how these features can be explained by a quantitative model; proposes a strategy for the construction of those models; illustrates their use for forecasting and control purposes and shows examples of models already in active use for several years that have up to almost two hundred estimated parameters employing several thousands observations.

Suggested Citation

  • Espasa, Antoni, 1993. "Modelling daily series of economic activity," DES - Working Papers. Statistics and Econometrics. WS 3682, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:3682
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    References listed on IDEAS

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    1. Cancelo, José Ramón & Espasa, Antoni, 1991. "Forecasting daily demand for electricity with multiple-input nonlinear transfer function models: a case study," UC3M Working papers. Economics 2808, Universidad Carlos III de Madrid. Departamento de Economía.
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    Cited by:

    1. Espasa, Antoni & Cancelo, José Ramón & Revuelta, J. Manuel, 1996. "Automatic modelling of daily series of economic activity," DES - Working Papers. Statistics and Econometrics. WS 3356, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Espasa, Antoni & Carlomagno Real, Guillermo, 2023. "Tall big data time series of high frequency: stylized facts and econometric modelling," DES - Working Papers. Statistics and Econometrics. WS 37746, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Jose Ramon Cancelo & Antoni Espasa, 1996. "Modelling and forecastng daily series of electricity demand," Investigaciones Economicas, Fundación SEPI, vol. 20(3), pages 359-376, September.

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    1. Espasa, Antoni & Carlomagno Real, Guillermo, 2023. "Tall big data time series of high frequency: stylized facts and econometric modelling," DES - Working Papers. Statistics and Econometrics. WS 37746, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Espasa, Antoni & Cancelo, José Ramón & Revuelta, J. Manuel, 1996. "Automatic modelling of daily series of economic activity," DES - Working Papers. Statistics and Econometrics. WS 3356, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Jose Ramon Cancelo & Antoni Espasa, 1996. "Modelling and forecastng daily series of electricity demand," Investigaciones Economicas, Fundación SEPI, vol. 20(3), pages 359-376, September.
    4. Eduardo Caro & Jesús Juan, 2020. "Short-Term Load Forecasting for Spanish Insular Electric Systems," Energies, MDPI, vol. 13(14), pages 1-26, July.

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    Keywords

    Forecasting;

    Statistics

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