 Component estimation for electricity prices: Procedures and comparisonsFrancesco Lisi () and Fany Nan Energy Economics, 2014, vol. 44, issue C, 143-159 Abstract: Electricity price time series usually exhibit some form of nonstationarity, corresponding to long-term behavior, one or more periodic components as well as dependence on calendar effects. As a result, modeling electricity prices requires accounting for both long-term and periodic components. In the literature, several filtering procedures have been proposed but a standard has not yet been found. Furthermore, since different procedures are applied in contexts that are not homogeneous with respect to data, periods and final goals, a fair comparison is difficult. This work considers several methods for component estimation in a homogeneous framework and compares them according to specific criteria. The final purpose is to find an estimation procedure that performs well, independently of the intended market and that can be proposed as a reference for electricity price time series filtering. Keywords: Component estimation; Filtering procedures; Electricity prices; Long-term dynamics; Nonparametric methods (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:44:y:2014:i:c:p:143-159 DOI: 10.1016/j.eneco.2014.03.018 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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