Short-term forecasting of electricity prices: Do we need a different model for each hour?
AbstractThis empirical paper is a continuation of our earlier work on time series forecasting of day-ahead electricity prices. Given the controversy in the literature whether to use one large model across all hours or 24 separate models, we study if the model structure (and not only the coefficients) should change for different periods of the day. We find that leaving out the statistically insignificant factors leads to, on average, better point forecasts.
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Bibliographic InfoPaper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/08/01.
Length: 10 pages
Date of creation: 2008
Date of revision:
Publication status: Published in MET (Medium Econometrische Toepassingen) 16.2 (2008) 8-13.
Electricity price forecasting; Autoregression (AR) model; Threshold Autoregression (TAR) model;
Find related papers by JEL classification:
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