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Real-time pricing of electricity for residential customers: Econometric analy...
Under real-time pricing, a network operator sets the price level for a period according to a predefined scheme which depends on the state of demand and costs, and announces this... -
Modelling market fundamentals: A model of the aluminium market (replication d...
The standard approach to modelling primary commodity markets under rational expectations is to relate the commodity price to the production and consumption surprises (i.e. the... -
Spectral tests of the martingale hypothesis for exchange rates (replication d...
A new family of spectral shape tests was proposed recently by Durlauf (1991) for testing the martingale hypothesis. Unlike the widely used variance ratio test, spectral shape... -
A simple and efficient method for estimating the magnitude and precision of w...
In this article we propose a simple and efficient method of estimating welfare measures in an n-equation system. We also estimate the variance of these measures. The accuracy... -
Forecasting in cointegrated systems (replication data)
We consider the implications for forecast accuracy of imposing unit roots and cointegrating restrictions in linear systems of I(1) variables in levels, differences, and...
