NONPARAMETRIC TESTING FOR DIFFERENCES IN ELECTRICITY PRICES: THE CASE OF THE FUKUSHIMA NUCLEAR ACCIDENT

• 成果类型: Article
• 署名作者: Liebl, Dominik
• 署名单位: University of Bonn
• 刊物名称: ANNALS OF APPLIED STATISTICS
• ISSN/ISSBN: 1932-6157
• DOI: 10.1214/18-AOAS1230
• 发表日期: 2019
• 页码: 1128-1146
• 关键词: functional data-analysis; spot prices; SPARSE; IMPACT; generation; regression; Europe; event; MODEL; wind

摘要

This work is motivated by the problem of testing for differences in the mean electricity prices before and after Germany's abrupt nuclear phaseout after the nuclear disaster in Fukushima Daiichi, Japan, in mid-March 2011. Taking into account the nature of the data and the auction design of the electricity market, we approach this problem using a Local Linear Kernel (LLK) estimator for the nonparametric mean function of sparse covariate-adjusted functional data. We build upon recent theoretical work on the LLK estimator and propose a two-sample test statistics using a finite sample correction to avoid size distortions. Our nonparametric test results on the price differences point to a Simpson's paradox explaining an unexpected result recently reported in the literature.