Forecasting high-frequency electricity demand with a diffusion index model.

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.

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Year of publication:	2006-09-29
Authors:	Rotger, G.P. ; Franses, Ph.H.B.F.
Institutions:	Erasmus University Rotterdam, Econometric Institute
Subject:	diffusion index forecast \| seasonality \| electricity load

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Extent:	application/pdf
Series:	Econometric Institute Report. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:dgr:eureir Number EI 2006-38
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005795591