Econometrics: A bird's eye view

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly over the past few decades. Major advances have taken place in the analysis of cross sectional data by means of semi-parametric and non-parametric techniques. Heterogeneity of economic relations across individuals, firms and industries is increasingly acknowledge and attempts have been made to take them into account either by integrating out their effects or by modeling the sources of heterogeneity when suitable panel data exists. The counterfactual considerations that underlie policy analysis and treatment evaluation have been given a more satisfactory foundation. New time series econometric techniques have been developed and employed extensively in the areas of macroeconometrics and finance. Non-linear econometric techniques are used increasingly in the analysis of cross section and time series observations. Applications of Bayesian techniques to econometric problems have been given new impetus largely thanks to advances in computer power and computational techniques. The use of Bayesian techniques have in turn provided the investigators with a unifying framework where the tasks and forecasting, decision making, model evaluation and learning can be considered as parts of the same interactive and iterative process; thus paving the way for establishing the foundation of the "real time econometrics". This paper attempts to provide an overview of some of these developments

Review of Low Voltage Load Forecasting: Methods, Applications, and Recommendations

The increased digitalisation and monitoring of the energy system opens up numerous opportunities to decarbonise the energy system. Applications on low voltage, local networks, such as community energy markets and smart storage will facilitate decarbonisation, but they will require advanced control and management. Reliable forecasting will be a necessary component of many of these systems to anticipate key features and uncertainties. Despite this urgent need, there has not yet been an extensive investigation into the current state-of-the-art of low voltage level forecasts, other than at the smart meter level. This paper aims to provide a comprehensive overview of the landscape, current approaches, core applications, challenges and recommendations. Another aim of this paper is to facilitate the continued improvement and advancement in this area. To this end, the paper also surveys some of the most relevant and promising trends. It establishes an open, community-driven list of the known low voltage level open datasets to encourage further research and development.Comment: 37 pages, 6 figures, 2 tables, review pape

Econometrics: A Bird’s Eye View

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly over the past few decades. Major advances have taken place in the analysis of cross sectional data by means of semi-parametric and non-parametric techniques. Heterogeneity of economic relations across individuals, firms and industries is increasingly acknowledged and attempts have been made to take them into account either by integrating out their effects or by modeling the sources of heterogeneity when suitable panel data exists. The counterfactual considerations that underlie policy analysis and treatment evaluation have been given a more satisfactory foundation. New time series econometric techniques have been developed and employed extensively in the areas of macroeconometrics and finance. Non-linear econometric techniques are used increasingly in the analysis of cross section and time series observations. Applications of Bayesian techniques to econometric problems have been given new impetus largely thanks to advances in computer power and computational techniques. The use of Bayesian techniques have in turn provided the investigators with a unifying framework where the tasks of forecasting, decision making, model evaluation and learning can be considered as parts of the same interactive and iterative process; thus paving the way for establishing the foundation of “real time econometrics”. This paper attempts to provide an overview of some of these developments.history of econometrics, microeconometrics, macroeconometrics, Bayesian econometrics, nonparametric and semi-parametric analysis

Internet of things (IoT) based adaptive energy management system for smart homes

PhD ThesisInternet of things enhances the flexibility of measurements under different environments, the development of advanced wireless sensors and communication networks on the smart grid infrastructure would be essential for energy efficiency systems. It makes deployment of a smart home concept easy and realistic. The smart home concept allows residents to control, monitor and manage their energy consumption with minimal wastage. The scheduling of energy usage enables forecasting techniques to be essential for smart homes. This thesis presents a self-learning home management system based on machine learning techniques and energy management system for smart homes. Home energy management system, demand side management system, supply side management system, and power notification system are the major components of the proposed self-learning home management system. The proposed system has various functions including price forecasting, price clustering, power forecasting alert, power consumption alert, and smart energy theft system to enhance the capabilities of the self-learning home management system. These functions were developed and implemented through the use of computational and machine learning technologies. In order to validate the proposed system, real-time power consumption data were collected from a Singapore smart home and a realistic experimental case study was carried out. The case study had proven that the developed system performing well and increased energy awareness to the residents. This proposed system also showcases its customizable ability according to different types of environments as compared to traditional smart home models. Forecasting systems for the electricity market generation have become one of the foremost research topics in the power industry. It is essential to have a forecasting system that can accurately predict electricity generation for planning and operation in the electricity market. This thesis also proposed a novel system called multi prediction system and it is developed based on long short term memory and gated recurrent unit models. This proposed system is able to predict the electricity market generation with high accuracy. Multi Prediction System is based on four stages which include a data collecting and pre-processing module, a multi-input feature model, multi forecast model and mean absolute percentage error. The data collecting and pre-processing module preprocess the real-time data using a window method. Multi-input feature model uses single input feeding method, double input feeding method and multiple feeding method for features input to the multi forecast model. Multi forecast model integrates long short term memory and gated recurrent unit variations such as regression model, regression with time steps model, memory between batches model and stacked model to predict the future generation of electricity. The mean absolute percentage error calculation was utilized to evaluate the accuracy of the prediction. The proposed system achieved high accuracy results to demonstrate its performance

Heterogeneous data source integration for smart grid ecosystems based on metadata mining

The arrival of new technologies related to smart grids and the resulting ecosystem of applications andmanagement systems pose many new problems. The databases of the traditional grid and the variousinitiatives related to new technologies have given rise to many different management systems with several formats and different architectures. A heterogeneous data source integration system is necessary toupdate these systems for the new smart grid reality. Additionally, it is necessary to take advantage of theinformation smart grids provide. In this paper, the authors propose a heterogeneous data source integration based on IEC standards and metadata mining. Additionally, an automatic data mining framework isapplied to model the integrated information.Ministerio de Economía y Competitividad TEC2013-40767-

The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk

The aim of this study is to analyze the relevance of recently developed news-based measures of economic policy and equity market uncertainty in causing and predicting the conditional quantiles of crude oil returns and risk. For this purpose, we studied both the causality relationships in quantiles through a non-parametric testing method and, building on a collection of quantiles forecasts, we estimated the conditional density of oil returns and volatility, the out-of-sample performance of which was evaluated by using suitable tests. A dynamic analysis shows that the uncertainty indexes are not always relevant in causing and forecasting oil movements. Nevertheless, the informative content of the uncertainty indexes turns out to be relevant during periods of market distress, when the role of oil risk is the predominant interest, with heterogeneous effects over the different quantiles levels.http://www.elsevier.com/locate/physa2019-10-01hj2018Economic

The impact of macroeconomic leading indicators on inventory management

Forecasting tactical sales is important for long term decisions such as procurement and informing lower level inventory management decisions. Macroeconomic indicators have been shown to improve the forecast accuracy at tactical level, as these indicators can provide early warnings of changing markets while at the same time tactical sales are sufficiently aggregated to facilitate the identification of useful leading indicators. Past research has shown that we can achieve significant gains by incorporating such information. However, at lower levels, that inventory decisions are taken, this is often not feasible due to the level of noise in the data. To take advantage of macroeconomic leading indicators at this level we need to translate the tactical forecasts into operational level ones. In this research we investigate how to best assimilate top level forecasts that incorporate such exogenous information with bottom level (at Stock Keeping Unit level) extrapolative forecasts. The aim is to demonstrate whether incorporating these variables has a positive impact on bottom level planning and eventually inventory levels. We construct appropriate hierarchies of sales and use that structure to reconcile the forecasts, and in turn the different available information, across levels. We are interested both at the point forecast and the prediction intervals, as the latter inform safety stock decisions. Therefore the contribution of this research is twofold. We investigate the usefulness of macroeconomic leading indicators for SKU level forecasts and alternative ways to estimate the variance of hierarchically reconciled forecasts. We provide evidence using a real case study