Chapter 10: Forecasting
(RATS and M codes)
(C source code and executable)
Links to Websites with Supplementary Material
- Short-term forecasting of electricity spot prices has been the topic of many research papers.; see, e.g., Rafał Weron's homepage. To replicate results in the paper by Misiorek et al. (2006, Stud. Nonlinear Dyn. E.); see the RePEc website for MATLAB code.autots-r-code.zip
- EViews code and a data worksheet for replicating results in the paper by Stevenson et al. (2006, Stud. Nonlinear Dyn. E.) are available at the journal paper website (authorized access). Nord Pool hourly electricity price data are here (authorized access).
- The R-autots package (2011, Comm. Korean Statistical Soc.) can be used for automatic model selection for both linear and nonlinear time series models by minimizing prediction errors and checking model-adequacy. Note that the package works in an old version of R(2.15.1) under fGarch (<=2110.80.1), tsDyn(<=0.8-1), and forecast (<=3.10).