An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices
نویسندگان
چکیده
We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample forecasts. In-sample LR tests support the TVP model for coal and gas but not for oil, though companion diagnostics suggest that the model is too restrictive to conclusively fit the data. Out-of-sample analysis suggests a randomwalk specification for oil price, and TVP models for both real-time forecasting in the case of gas and long-run forecasting in the case of coal.
منابع مشابه
Energy Optimization of Under-actuated Crane model for Time-Variant Load Transferring using Optimized Adaptive Combined Hierarchical Sliding Mode Controller
This paper designs an Optimized Adaptive Combined Hierarchical Sliding Mode Controller (OACHSMC) for a time-varying crane model in presence of uncertainties. Uncertainties have always been one of the most important challenges in designing control systems, which include the unknown parameters or un-modeled dynamics in the systems. Sliding mode controller (SMC) is able to compensate the system in...
متن کاملRobust Controller Design Based-on Aerodynamic Load Simulator Identification Driven by PMSM for Hardware-in-the-Loop Simulations
Aerodynamic load simulators generate the required time varying load to test the actuator’s performance in the laboratory. Electric Load Simulator (ELS) as one of variety of the dynamic load simulators should follows the rotation of the Under Test Actuator (UTA) and applies the desired torque to UTA’s rotor at the same time. In such a situation, a very large torque is imposed to the ELS from the...
متن کاملFuzzy Model of Human’s Performance for Guarding a Territory in an Air Combat
This paper proposes a new method for a three dimensional fuzzy model of pilot's performance for guarding a territory with a short-distance between two aircraft in an air combat task with a gun. A third-order nonlinear point mass vehicle model is considered for an aircraft's flight dynamics. The desired value of the velocity, the flight path and the heading angles are obtained from some derived ...
متن کاملAdaptive fuzzy pole placement for stabilization of non-linear systems
A new approach for pole placement of nonlinear systems using state feedback and fuzzy system is proposed. We use a new online fuzzy training method to identify and to obtain a fuzzy model for the unknown nonlinear system using only the system input and output. Then, we linearized this identified model at each sampling time to have an approximate linear time varying system. In order to stabilize...
متن کاملRobust Fuzzy Gain-Scheduled Control of the 3-Phase IPMSM
This article presents a fuzzy robust Mixed - Sensitivity Gain - Scheduled H controller based on the Loop -Shaping methodology for a class of MIMO uncertain nonlinear Time - Varying systems. In order to design this controller, the nonlinear parameter - dependent plant is first modeled as a set of linear subsystems by Takagi and Sugeno’s (T - S) fuzzy approach. Both Loop - Shaping methodology and...
متن کامل