Hartley, Peter R.Chang, Yoosoon2009-06-042009-06-042003Martinez-Chombo, Eduardo. "Essays in energy economics: The electricity industry." (2003) Diss., Rice University. <a href="https://hdl.handle.net/1911/18554">https://hdl.handle.net/1911/18554</a>.https://hdl.handle.net/1911/18554Electricity demand analysis using cointegration and error-correction models with time varying parameters: The Mexican case. In this essay we show how some flexibility can be allowed in modeling the parameters of the electricity demand function by employing the time varying coefficient (TVC) cointegrating model developed by Park and Hahn (1999). With the income elasticity of electricity demand modeled as a TVC, we perform tests to examine the adequacy of the proposed model against the cointegrating regression with fixed coefficients, as well as against the spuriousness of the regression with TVC. The results reject the specification of the model with fixed coefficients and favor the proposed model. We also show how some flexibility is gained in the specification of the error correction model based on the proposed TVC cointegrating model, by including more lags of the error correction term as predetermined variables. Finally, we present the results of some out-of-sample forecast comparison among competing models. Electricity demand and supply in Mexico. In this essay we present a simplified model of the Mexican electricity transmission network. We use the model to approximate the marginal cost of supplying electricity to consumers in different locations and at different times of the year. We examine how costs and system operations will be affected by proposed investments in generation and transmission capacity given a forecast of growth in regional electricity demands. Decomposing electricity prices with jumps. In this essay we propose a model that decomposes electricity prices into two independent stochastic processes: one that represents the "normal" pattern of electricity prices and the other that captures temporary shocks, or "jumps", with non-lasting effects in the market. Each contains specific mean reverting parameters to estimate. In order to identify such components we specify a state-space model with regime switching. Using Kim's (1994) filtering algorithm we estimate the parameters of the model, the transition probabilities and the unobservable components for the mean adjusted series of New South Wales' electricity prices. Finally, bootstrap simulations were performed to estimate the expected contribution of each of the components in the overall electricity prices.161 p.application/pdfengCopyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder.EconomicsFinanceEnergyThesisTHESIS ECON. 2003 MARTINEZ CHOMBO