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

Authors

Elkin Castaño National University of Colombia - Medellín Headquarters
Jorge Sierra National Dispatch Center

DOI:

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

Keywords:

Level shift, deterministic components, unit root

Abstract

Usually, the time series of electricity prices in different markets show structural changes due to economic conditions related to supply, demand or specific market rules. While some of the proposals for modeling these series are based on mean reversion models inspired by the financial literature (Philipovic, 1998), its jumps and structural changes have evidenced the existence of regimes with different means and variances (Huisman, 2003). In Colombia, these series seem to show an overall growing pattern. This article seeks to find evidence of whether this growing pattern is due to the presence of a purely deterministic trend; or if there is a unit root, implying the existence of a stochastic trend; or if the series is generated by a stationary process around various changes of level, which could have been caused by various exogenous events such as the weather phenomena of El Niño and La Niña and the resolutions of the Comisión de Regulación de Energía y Gas in the country...

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Author Biographies

Elkin Castaño, National University of Colombia - Medellín Headquarters

Associate professor at the Faculty of Sciences, National University of Colombia, Medellin campus and tenured professor at the Faculty of Economic Sciences, University of Antioquia.

Jorge Sierra, National Dispatch Center

XM Market Experts, National Dispatch Center

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