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Can the electricity market be characterised by asymmetric behaviour?
journal contributionposted on 2009-11-01, 00:00 authored by Paresh Narayan, S Popp
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.
Pagination4364 - 4372
LocationAmsterdam, The Netherlands
Publication classificationC1 Refereed article in a scholarly journal
Copyright notice2009, ElsevierLtd.
CategoriesNo categories selected
asymmetryelectricity demandG7 countriesSocial SciencesScience & TechnologyTechnologyLife Sciences & BiomedicineEconomicsEnergy & FuelsEnvironmental SciencesEnvironmental StudiesBusiness & EconomicsEnvironmental Sciences & EcologyBUSINESS-CYCLE ASYMMETRIESENERGY-CONSUMPTIONUNIT-ROOTREAL GDPOILCOINTEGRATIONCAUSALITYPERMANENTCOUNTRIESTEMPORARY