TESTING FOR WEEKLY SEASONAL UNIT ROOTS IN DAILY ELECTRICITY DEMAND: EVIDENCE FROM DEREGULATED MARKETS

Antonio Rubia
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Antonio Rubia: Universidad de Alicante

Working Papers. Serie EC from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

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.

Keywords: Demanda eléctrica; contraste HEGY; raíces unitarias estacionales. Electric power; HEGY test; seasonal unit roots. (search for similar items in EconPapers)
JEL-codes: C12 C49 Q41 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2001-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasec:2001-21

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