Showing 1 - 10 of 16
In this paper we study simple time series models and assess their forecasting performance. In particular we calibrate ARMA and ARMAX (where the exogenous variable is the system load) processes. Models are tested on a time series of California power market system prices and loads from the period...
Persistent link: https://www.econbiz.de/10005556334
In this paper we study two statistical approaches to load forecasting. Both of them model electricity load as a sum of two components – a deterministic (representing seasonalities) and a stochastic (representing noise). They differ in the choice of the seasonality reduction method. Model A...
Persistent link: https://www.econbiz.de/10005119116
We consider estimation of a panel data model where disturbances are spatially correlated in the cross-sectional dimension, based on geographic or economic proximity. When the time dimension of the data is large, spatial correlation parameters may be consistently estimated. When the time...
Persistent link: https://www.econbiz.de/10005062574
This paper brings together a number of new specification search strategies in spatial econometric modeling. In the literature, experimental results for several forward stepwise strategies aimed at remedying spatial dependence, have been reported. Essentially, these strategies boil down to the...
Persistent link: https://www.econbiz.de/10005119054
explanatory variables are present in all equations and where heteroskedasticity and/or autocorrelation of unknown forms may be … autocorrelation consistent covariance matrix estimator, is invariant to the equation deleted. Our proof of invariance is algebraic and …
Persistent link: https://www.econbiz.de/10005119082
This study examines the impact of telecommuting on passenger vehicle- miles traveled (VMT) through a multivariate time series analysis of aggregate nationwide data spanning 1966-1999 for all variables except telecommuting, and 1988-1998 for telecommuting. The analysis was conducted in two...
Persistent link: https://www.econbiz.de/10005407928
Border region electric utility service loads are impacted by national, regional, and international business cycles. To examine whether the cross-border components of these interactions can be reliably assessed, transfer ARIMA models are estimated for three business rate categories in El Paso,...
Persistent link: https://www.econbiz.de/10005062498
In this work the P* model is used to analyze and forecast the inflation rate in the economy of Puerto Rico. This model is based on two essential points: the first one is to identify the inflationary potential of an economic system through the estimation of the price level to which the inflation...
Persistent link: https://www.econbiz.de/10005556397
A time series analysis of the Shanghai and New York Stock Exchange composite price indices is provided to compare the weekly rates of return and volatilities of these two markets and to study their co-movement in 1992-2002. The rate of return and volatility of the Shanghai market were higher....
Persistent link: https://www.econbiz.de/10005556546
In this study, we empirically examine the extent of price rigidity using a unique store-level time series data set - consisting of (i) actual retail transaction prices, (ii) actual wholesale transaction prices which represent both the retailers' costs and the prices received by manufacturers,...
Persistent link: https://www.econbiz.de/10005561335