This paper analyses the nature of the weekly seasonal component in daily observations for the electricity demand series from several deregulated markets. We present and use the extension of the seasonal unit roots test of Hylleberg et al (1990) to the weekly seasonality case to formally determine whether the seasonal component of each variable exhibits stochastic non-stationarity. Daily demand series are taken from the Spanish, Argentine and Victoria State (Australia) Electricity Wholesale Markets. We find that only in the case of the Australian electricity demand there is evidence of unit roots, so the usual differentiating procedure employed in conventional time series models or regression approaches could imply a mis-specification. Este trabajo examina la naturaleza del componente estacional semanal presente en las observaciones diarias de la demanda de electricidad de distintos mercados liberalizados. Se presenta y se utiliza la extensión del contraste de raíces unitarias estacionales de Hylleberg et al. (1990) para el caso de estacionalidad semanal en datos de frecuencia diaria, con la finalidad de determinar formalmente si el componente estacional de cada serie muestra o no comportamientos no-estacionarios. Las series de demanda se han obtenido de los mercados mayoristas de electricidad de Argentina, España y del estado de Victoria (Australia). La evidencia muestra que sólo en el caso de Victoria parecen existir raíces unitarias, por lo que el procedimiento habitual de diferenciación en la metodología de series temporales o de regresión implicaría la incorrecta especificación del auténtico proceso subyacente.
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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number
2001-21.
Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply
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