Showing 1 - 10 of 112
Long-term electricity demand forecasting plays an important role in planning for future generation facilities and transmission augmentation. In a long term context, planners must adopt a probabilistic view of potential peak demand levels, therefore density forecasts (providing estimates of the...
Persistent link: https://www.econbiz.de/10005581135
Despite the commonly held belief that aggregate data display short-run comovement, there has been little discussion about the econometric consequences of this feature of the data. We use exhaustive Monte-Carlo simulations to investigate the importance of restrictions implied by common-cyclical...
Persistent link: https://www.econbiz.de/10005149052
Short-term load forecasting is an essential instrument in power system planning, operation and control. Many operating decisions are based on load forecasts, such as dispatch scheduling of generating capacity, reliability analysis, and maintenance planning for the generators. Overestimation of...
Persistent link: https://www.econbiz.de/10008461880
It is well known that the usual techniques for estimating random and fixed effects panel data models are inconsistent in the dynamic setting. As a consequence, numerous consistent estimators have been proposed in the literature. However, all such estimators rely on certain well defined...
Persistent link: https://www.econbiz.de/10005087599
In this paper two new estimators are offred (one each for the fixed random effects specifications), and small sample performance compared with that of all the existing estimators.
Persistent link: https://www.econbiz.de/10005581132
In many applications, there are multiple time series that are hierarchically organized and can be aggregated at several different levels in groups based on products, geography or some other features. We call these "hierarchical time series". They are commonly forecast using either a "bottom-up"...
Persistent link: https://www.econbiz.de/10005087592
The analysis of economic time series assumes specific economic behaviour of a representative agent. The data used in analysis is generated by aggregating observations of all individuals in a population. This is valid only if all members of a population have the same data generating process, but...
Persistent link: https://www.econbiz.de/10005427607
This paper provides an empirical analysis of a range of alternative single-factor continuous time models for the Australian short-term interest rate. The models are indexed by the level effect parameter for the volatility in the short rate process. The inferential approach adopted is Bayesian,...
Persistent link: https://www.econbiz.de/10005427611
In this paper we study a statistical method of implementing quasi-Bayes estimators for nonlinear and nonseparable GMM models, that is motivated by the ideas proposed in Chernozhukov and Hong (2003) and Creel and Kristensen (2011) and that combines simulation with nonparametric regression in the...
Persistent link: https://www.econbiz.de/10011093867
Bandwidth plays an important role in determining the performance of nonparametric estimators, such as the local constant estimator. In this paper, we propose a Bayesian approach to bandwidth estimation for local constant estimators of time-varying coefficients in time series models. We establish...
Persistent link: https://www.econbiz.de/10011188646