Forecasting high-frequency electricity demand with a diffusion index model.
2006-09-29
Research Paper
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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.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
- C32 : Time-Series Models; Dynamic Quantile Regressions
- C12 : Hypothesis Testing
- C22 : Time-Series Models; Dynamic Quantile Regressions
Automatically Extracted Terms
- factor
- model
- forecast
- forecasting
- electricity
- component
- method
- unit roots
- series
- unit root analysis
- period
- yht +1
- presence
- loading
- error
- analysis
- time series
- electricity demand
- demand
- journal
