Can the electricity market be characterised by asymmetric behaviour?
- 作者：Paresh Kumar Narayan ; Stephan Popp
- 关键词：Asymmetry ; Electricity demand ; G7 countries
- 刊名：Energy Policy
- 出版年：2009
- 期刊代码：15_03014215
- 类别：pw
- 出版时间：November 2009
- 卷：37
- 期：11
- 页码：4364-4372
- 文件大小：355 K
摘要
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.