Forecasting high-frequency electricity demand with a diffusion index model

G.P. Rotger and Philip Hans Franses

No EI 2006-38, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: We propose a discussion index model (Stock and Watson, 2002) to fore- cast electricity demand for one hour to one week ahead. The model is particularly useful as it captures complicated seasonal patterns in the data. The forecast performance of the proposed method is illustrated with a simulated real-time experiment for data from the Pennsylvania- New Jersey-Maryland Interchange.

Keywords: diffusion index forecast; electricity load; seasonality (search for similar items in EconPapers)
JEL-codes: C12 C22 C32 (search for similar items in EconPapers)
Date: 2006-09-29
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Citations: View citations in EconPapers (1)

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