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Common Unobserved Determinants of Intraday Electricity Prices.
- Source :
-
Energy Journal . 2019 Special Issue 1, Vol. 40, p211-232. 22p. - Publication Year :
- 2019
-
Abstract
- This paper employs multilevel factor modelling techniques to unravel systematic unobserved determinants of the intraday and interzonal price curve dynamics for the Pennsylvania-New Jersey-Maryland (PJM) interconnection. These techniques make an explicit separation of global drivers from region-specific common factors, thereby facilitating the identification of the actual sources of co-variability. Our empirical findings confirm the hypothesis that the common unobserved determinants of power prices in the PJM interconnection obey a block structure, some of which affect different segments of our panel. We argue that a multilevel factor approach offers a more systematic and transparent representation of intertemporal and cross-sectional patterns in PJM electricity prices compared to alternative brute-force VARMAX parametrizations and the single-level factor models, which are often put forward in the literature as viable modelling alternatives. [ABSTRACT FROM AUTHOR]
- Subjects :
- *ELECTRICITY pricing
*MULTILEVEL models
*LOGITS
Subjects
Details
- Language :
- English
- ISSN :
- 01956574
- Volume :
- 40
- Database :
- Academic Search Index
- Journal :
- Energy Journal
- Publication Type :
- Academic Journal
- Accession number :
- 138044034
- Full Text :
- https://doi.org/10.5547/01956574.40.SI1.ntho