Chapter 10: Forecasting
Data Set
SCMI-HDR.dat
SCMI-HDR.dat
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Computer Codes
Examples: Example_10-2.zip Example_10-3.zip Example_10-4.zip Example_10-6.zip Example_10-7.zip Example_10-8.zip Section10-1-1.zip Exercises: Exercise_10-10.zip Exercise_10-11b.zip Exercise_10-12.zip Miscellanea: Pan-Politis.zip Regions.zip Figures Figures-Chapter-10-exercises.zip Figures-Chapter-10-exercises-jpg.zip |
(R code) (F code) (M code) (RATS and M codes) (C source code and executable) (R code) (F code) (R code) (R code) (M code) (R code) (G code) (EPS format) (JPEG format) |
Links to Websites with Supplementary Material
- Short-term forecasting of electricity spot prices has been the topic of many research papers. Rafał Weron's homepage offers MATLAB code to replicate results in the paper by Misiorek et al. (2006, Stud. Nonlinear Dyn. E.); see also the RePEc website.
- 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).