期刊名称：International Journal of Energy Economics and Policy
电子版ISSN：2146-4553
出版年度：2018
卷号：8
期号：3
页码：97-106
语种：English
出版社：EconJournals
摘要：This study aims to predict electricity prices in the Colombian electricity market. To achieve this goal, conventional time series econometrics analysis and one alternative technique based on artificial intelligence algorithms have been implemented. We use autoregressive-moving-average models (ARMAX) and non-linear autoregressive neural networks (NARX). After estimating a hybrid model that combines ARMAX and ARNX models, including exogenous inputs, we forecasted an electricity price time series in a horizon of 12 months ahead (May 2017). Results show that NARX model's performance is not significantly better than ARMAX's. After applying a Diebold-Mariano test for forecasting accuracy, the null hypothesis is not rejected. This suggests no significant difference in predictive accuracy between the competing methodologies.
