Testing for weekly seasonal unit roots in daily electricity demand: evidence from deregulated markets

Resum

This paper analyses the nature of the weekly seasonal component in daily observations for the electricity demand series from several deregulated markets. We present and use the extension of the seasonal unit roots test of Hylleberg et al (1990) to the weekly seasonality case to formally determine whether the seasonal component of each variable exhibits stochastic non-stationarity. Daily demand series are taken from the Spanish, Argentine and Victoria State (Australia) Electricity Wholesale Markets. We find that only in the case of the Australian electricity demand there is evidence of unit roots, so the usual differentiating procedure employed in conventional time series models or regression approaches could imply a mis-specification.