Sobre la existencia de una raíz unitaria en la serie de tiempo mensual del precio de la electricidad en Colombia

Elkin Castaño; Jorge Sierra

doi:10.17533/udea.le.n76a12817

Autores/as

Elkin Castaño Universidad Nacional de Colombia - Sede Medellín
Jorge Sierra Centro Nacional de Despacho

DOI:

https://doi.org/10.17533/udea.le.n76a12817

Palabras clave:

Cambios de nivel, componentes determinísticas, raíz unitaria

Resumen

Generalmente, las series de tiempo de precios de electricidad presentan cambios estructurales debido a las condiciones económicas relacionadas con la oferta, la demanda o las reglas del mercado donde se transan. Mientras algunas de las propuestas para modelar estas series están basadas en modelos de reversión a la media inspirados por la literatura financiera (Philipovic, 1998), sus saltos y cambios estructurales han evidenciado la existencia de regímenes con diferentes medias y varianzas (Huisman, 2003). En Colombia, estas series parecen mostrar una tendencia general de crecimiento. En este artículo se busca evidencia de si este crecimiento es debido a una tendencia puramente determinística, o a una raíz unitaria, o a la presencia de distintos cambios de nivel, los cuales podrían haber sido causados por eventos exógenos, tales como los fenómenos climáticos de El Niño y La Niña y las resoluciones de la Comisión de Regulación de Energía y Gas del país. Los resultados se inclinan a favor de un proceso estacionario alrededor de varios cambios de nivel...

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Biografía del autor/a

Elkin Castaño, Universidad Nacional de Colombia - Sede Medellín

Profesor asociado de la Facultad de Ciencias, Universidad Nacional de Colombia, Sede Medellíny profesor titular de la Facultad de Ciencias Económicas, Universidad de Antioquia.

Jorge Sierra, Centro Nacional de Despacho

XM Expertos en Mercado, Centro Nacional de Despacho

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