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
2014-10-21
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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