Short-term forecasting of electricity prices: Do we need a different model for each hour?

This empirical paper is a continuation of our earlier work on time series forecasting of day-ahead electricity prices. Given the controversy in the literature whether to use one large model across all hours or 24 separate models, we study if the model structure (and not only the coefficients) should change for different periods of the day. We find that leaving out the statistically insignificant factors leads to, on average, better point forecasts.

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Year of publication:	2008
Authors:	Misiorek, Adam
Institutions:	Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Subject:	Electricity price forecasting \| Autoregression (AR) model \| Threshold Autoregression (TAR) model

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Extent:	application/pdf text/html
Series:	HSC Research Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in MET (Medium Econometrische Toepassingen) 16.2 (2008) 8-13. Number HSC/08/01 10 pages
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; q47
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009003615