Can the electricity market be characterised by asymmetric behaviour?

Narayan, Paresh and Popp, Stephan 2009, Can the electricity market be characterised by asymmetric behaviour?, Energy policy, vol. 37, no. 11, pp. 4364-4372.

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Title Can the electricity market be characterised by asymmetric behaviour?
Author(s) Narayan, Paresh
Popp, Stephan
Journal name Energy policy
Volume number 37
Issue number 11
Start page 4364
End page 4372
Publisher Elsevier Ltd
Place of publication Amsterdam, The Netherlands
Publication date 2009-11
ISSN 0301-4215
1873-6777
Keyword(s) asymmetry
electricity demand
G7 countries
Summary In this paper, we test for asymmetric behaviour of industrial and residential electricity demand for the G7 countries, using the entropy-based test for symmetry suggested by [Racine, J., and Maasoumi, E., 2007. A versatile and robust metric entropy test of time-reversibility, and other hypotheses. Journal of Econometrics 138(2), 547–567; Racine, J., and Maasoumi, E., 2008. A robust entropy-based test of asymmetry for discrete and continuous processes. Econometric Reviews 28, 246–261], the Triples test of [Randles, R., Flinger, M., Policello, G., and Wolfe, D., 1980. An asymptotically distribution-free test for symmetry versus asymmetry. Journal of the American Statistical Association 75, 168–172] and the [Bai, J., and Ng, S., 2001. A consistent test for conditional symmetry in time series models. Journal of Econometrics 103, 225–258] test for conditional symmetry. Using data that spans over three decades, we find overwhelming evidence of conditional symmetry of residential and industrial electricity consumption. This finding implies that the use of econometric tests based on linear data generating processes is credible.
Language eng
Field of Research 140299 Applied Economics not elsewhere classified
Socio Economic Objective 859999 Energy not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2009, ElsevierLtd.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30022722

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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