销售电价与用电需求的面板数据协整建模

Panel Cointegration Modeling of Power Tariff and Demand

提出基于面板数据协整的销售电价与用电需求的关系分析方法,该方法同时利用时间和截面数据,改善小样本问题,解决变量内生性和序列相关所导致的伪回归问题,从而准确描述不同地区不同时间上销售电价和用电需求之间的协整关系。通过对1990到2005年美国各州销售电价与用电需求的面板单位根检验和面板协整检验,发现销售电价和用电需求是非平稳的面板数据,并且它们之间存在着显著的面板协整关系。在此基础上,提出基于截面加权回归的固定效应模型,用以准确描述销售电价和用电需求面板数据的长期均衡关系。

The analysis method of relationship between power tariff and demand is proposed based on the panel cointegration in this paper. By using simultaneously the time series and cross-section of data, this method is able to improve the performance of small sample data and solve the spurious regression problem so that the cointegration relationshiip between power tariff and demand at different time and in different regions is accurately analyzed.. With the panel data of power tariff and demand from 1990 to 2005 in United States, the test results of panel unit root and panel cointegration indicate that the power tariff and demand are non- stationary panel data and have obvious panel cointegration relationship. Then, the fixed effects model based on cross- section weightings is proposed in order to describe the long- term equilbrium relation between power tariff and demand.