During the next several years, the U.S. electricity industry is likely to change dramatically. Instead of an industry dominated by vertically integrated companies that are regulated primarily by state public utility commissions, we may see an industry with many more participants and less...

We investigate autoregressive approximations of multiple frequency I(1) processes. The underlying data generating process is assumed to allow for an infinite order autoregressive representation where the coefficients of the Wold representation of the suitably filtered process satisfy mild...

In this paper the theory on the estimation of vector autoregressive (VAR) models for I(2) processes is extended to the case of long VAR approximation of more general processes. Hereby the order of the autoregression is allowed to tend to infinity at a certain rate depending on the sample size....