EconPapers    
Economics at your fingertips  
 

A note on using the Hodrick–Prescott filter in electricity markets

Rafał Weron and Michał Zator

Energy Economics, 2015, vol. 48, issue C, 1-6

Abstract: Recently, Nowotarski et al. (2013) have found that wavelet-based models for the long-term seasonal component (LTSC) are not only better in extracting the LTSC from a series of spot electricity prices but also significantly more accurate in terms of forecasting these prices up to a year ahead than the commonly used monthly dummies and sine-based models. However, a clear disadvantage of the wavelet-based approach is the increased complexity of the technique, as compared to the other two classes of LTSC models, and the resulting need for dedicated numerical software, which may not be readily available to practitioners in their work environments. To facilitate this problem, we propose here a much simpler, yet equally powerful method for identifying the LTSC in electricity spot price series. It makes use of the Hodrick–Prescott (HP) filter, a widely-recognized tool in macroeconomics.

Keywords: Hodrick–Prescott filter; Electricity spot price; Long-term seasonal component; Robust modeling (search for similar items in EconPapers)
JEL-codes: C14 C51 C52 C53 C63 Q47 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988314002990
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A note on using the Hodrick-Prescott filter in electricity markets (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:48:y:2015:i:c:p:1-6

DOI: 10.1016/j.eneco.2014.11.014

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
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-24
Handle: RePEc:eee:eneeco:v:48:y:2015:i:c:p:1-6