i am about to estimate an ARIMA model to hourly electricity price
data. The data has cyclic characteristics at 24 hours and 168 hours (a
week). I actually found this paper
) where an
ARIMA model was fitted to about the same electricity price data (same
characteristics), but i am unable to transfer their results to gretl.
Can anyone help me finding the right AR/MA/Differencing and seasonal
orders for this data? I already loaded the data into gretl as hourly
timeseries data, but i have no clue about choosing the right ARIMA
orders to get anything remotely close to a good fit. The paper
mentions the numbers 24 and 168 in their model but i can't enter
anything above 10 as AR/MA orders and the seasonal orders are limited
to 4 as well (assuming quarterly data?). But as i said, i'm not even
sure if i need to enter numbers this big as the paper also mentions
that the models only use the previous 5, respective 2 hours.
Any questions regarding the data can be answered by looking at the
above paper. My data is about exactly the same.