基于动态计量经济学模型的短期电价预测

电力市场中的电价受众多因素影响，单变量时间序列法已很难提高短期电价的预测精度。针对该问题，文中运用时间序列模型的动态计量方法来预测短期电价。首先建立电价和电量的一般自回归分布滞后模型；然后对电价和电量的时间序列数据进行预处理；在通过平稳性和协整性检验后，建立误差修正模型，最终由Eviews 5.0估计出模型的参数。利用此模型对澳大利亚新南威尔士州电力市场的短期电价进行预测，结果表明此模型具有较高的预测精度。

Short-Term Electricity Price Forecasting Based on Dynamic Economics Model

Due to the influence of various factors on electricity price in electricity market, it is hardly to improve the forecasting accuracy of short-term electricity price by single variable time series method. To solve this problem, the authors propose an approach to forecast short-term electricity price by dynamic economics method in time series model. Firstly, the auto-regressive distributed lag models (ADLM) of electricity price and quantity are built; then the time series data of electricity price and quantity are preprocessed; after the test of stationary and cointegration, an error correction model is established; finally the parameters of the model are evaluated by Eviews 5.0. The short-term electricity prices of Australia NSW electricity market are forecasted by this model, and the results show that the proposed model can offer more accurate short-term electricity price.