Forecast Modeling with different time period datas
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I want to model electricity price forecasting. However I have different time period datas. For example; I have hourly and daily datas for different variables. I do not know how to combine them in a model? Do you have any idea?
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Roger Wohlwend
le 21 Oct 2014
If you want to forecast hourly price movements then you have to ignore the daily data and work with the hourly data only. However, if you intend to forecast prices on a daily basis, use the whole dataset. For the hourly data use the latest data point of each day only. If you have the Financial toolbox, create a fints object for each time series and merge them with the function merge. In such a way it is quite easy to combine data with different frequencies.
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