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Testing For Weekly Seasonal Unit Roots In Daily Electricity Demand: Evidence From Deregulated Markets

Author

Listed:
  • Antonio Rubia

    (Universidad de Alicante)

Abstract

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.

Suggested Citation

  • Antonio Rubia, 2001. "Testing For Weekly Seasonal Unit Roots In Daily Electricity Demand: Evidence From Deregulated Markets," Working Papers. Serie EC 2001-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  • Handle: RePEc:ivi:wpasec:2001-21
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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2001-21.pdf
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    References listed on IDEAS

    as
    1. Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November.
    2. 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.
    3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    4. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
    5. Ghysels, Eric & Perron, Pierre, 1993. "The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
    6. Zacharias Psaradakis, 1997. "Testing for unit roots in time series with nearly deterministic seasonal variation," Econometric Reviews, Taylor & Francis Journals, vol. 16(4), pages 421-439.
    7. Beenstock, Michael & Goldin, Ephraim & Nabot, Dan, 1999. "The demand for electricity in Israel," Energy Economics, Elsevier, vol. 21(2), pages 168-183, April.
    8. De Vany, Arthur S. & Walls, W. David, 1999. "Cointegration analysis of spot electricity prices: insights on transmission efficiency in the western US," Energy Economics, Elsevier, vol. 21(5), pages 435-448, October.
    9. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
    10. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
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    12. Engle, R. F. & Granger, C. W. J. & Hallman, J. J., 1989. "Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting," Journal of Econometrics, Elsevier, vol. 40(1), pages 45-62, January.
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    Cited by:

    1. Ángel León & Antonio Rubia, 2002. "Forecasting Time-Varying Covariance Matrices In Intradaily Electricity Spot Prices," Working Papers. Serie AD 2002-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

    More about this item

    Keywords

    Demanda eléctrica; contraste HEGY; raíces unitarias estacionales. Electric power; HEGY test; seasonal unit roots.;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • 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; Prices

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