摘要翻译：
电力批发市场通过高压互连器日益一体化，区域间电力贸易正在增长。为了建立这个模型，我们考虑了一个价格形成的空间均衡模型，其中对区域间流动的限制导致了三个不同的价格均衡。我们利用这一点来激励观察到的电力现货价格分布的计量经济学模型，该模型捕捉到了它们的许多独特的经验特征。计量经济模型以供应和区域间贸易成本函数为特征，采用贝叶斯单调回归平滑方法进行估计。采用copula多元时间序列模型来捕捉区域价格中的附加依赖性--横截面和序列。边际分布是非参数的，其均值由回归均值给出。该模型的优点是在预测价格的密度上保持了较大的右尾。我们对澳大利亚全国电力市场五个互联区域的半小时现货价格数据进行了拟合。然后用拟合的模型来衡量一个地区的供应和价格冲击是如何传导到随后时期所有地区的价格分布的。最后，为了验证我们的计量经济模型，我们发现用所提出的模型预测的价格比一些基准方案的价格更好。
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英文标题：
《Econometric Modeling of Regional Electricity Spot Prices in the
  Australian Market》
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作者：
Michael Stanley Smith and Thomas S. Shively
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最新提交年份：
2018
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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英文摘要：
  Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on inter-regional flows result in three distinct equilibria in prices. We use this to motivate an econometric model for the distribution of observed electricity spot prices that captures many of their unique empirical characteristics. The econometric model features supply and inter-regional trade cost functions, which are estimated using Bayesian monotonic regression smoothing methodology. A copula multivariate time series model is employed to capture additional dependence -- both cross-sectional and serial-- in regional prices. The marginal distributions are nonparametric, with means given by the regression means. The model has the advantage of preserving the heavy right-hand tail in the predictive densities of price. We fit the model to half-hourly spot price data in the five interconnected regions of the Australian national electricity market. The fitted model is then used to measure how both supply and price shocks in one region are transmitted to the distribution of prices in all regions in subsequent periods. Finally, to validate our econometric model, we show that prices forecast using the proposed model compare favorably with those from some benchmark alternatives.
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PDF链接：
https://arxiv.org/pdf/1804.08218