Dicembrino, Claudio and Trovato, Giovanni (2013): Structural Breaks, Price and Income Elasticity, and Forecast of the Monthly Italian Electricity Demand.
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Abstract
Insights about electricity demand dynamics is fundamental for investment capacity, optimal energy policies, and a balanced electricity system. This paper presents an empirical analysis of the monthly Italian electricity demand since January 2001 to June 2012. In the first section we conduct the analysis of structural breaks in the electricity demand finding that the series has two structural breaks in August 2002 and August 2004 as market liberalization effects on consumption. In the second part of the paper we estimate demand price elasticities both for residential and industrial sector. As expected from the electricity economics literature concerning elasticities estimates, we find that the long run price and income elasticities are more price elastic than the short run both in industrial and residential consumption. In the third and last section, we compare two different forecasting models: the Hidden Markov Models (HMM) and the Holt Winters (HW) seasonal smoothing method. Considering the Mean Absolute Percentage Error (MAPE), the HMM approach seems to show a superiority in forecasting the monthly electricity demand compared to the HW methodology.
Item Type:  MPRA Paper 

Original Title:  Structural Breaks, Price and Income Elasticity, and Forecast of the Monthly Italian Electricity Demand 
Language:  English 
Keywords:  Electricity Demand, Price and Income Elasticity, Hidden Markov Models, HoltWinters Seasonal Filter Smoothing 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods ; Simulation Methods Q  Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4  Energy > Q41  Demand and Supply ; Prices Q  Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4  Energy > Q47  Energy Forecasting R  Urban, Rural, Regional, Real Estate, and Transportation Economics > R2  Household Analysis > R21  Housing Demand 
Item ID:  47653 
Depositing User:  Claudio Dicembrino 
Date Deposited:  18 Jun 2013 02:42 
Last Modified:  07 Dec 2016 05:35 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/47653 