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Modeling Gas Prices in Poland with an Application of the Vector Autoregression Method (VAR)

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  • Mentel Grzegorz

    (Rzeszow University of Technology Faculty of Management Department of Quantitative Methods Powstańców Warszawy 8, 35-959 Rzeszów, Poland)

Abstract

The paper presents examples of gas prices modeling in Poland by means of the VAR model (AutoRegression Vector Model). For comparison, the predictions are made for the models estimated by different variations of the generalized least squares method.The analysis is based on gas prices set by the Carpathian Gas Company after 2000 for the tariffs applied for individual customers. Thus, value forecasts were presented for this type of energy for the “ordinary” customers in the light of the existing regulations.

Suggested Citation

  • Mentel Grzegorz, 2012. "Modeling Gas Prices in Poland with an Application of the Vector Autoregression Method (VAR)," Folia Oeconomica Stetinensia, Sciendo, vol. 12(2), pages 46-57, December.
    • Handle: RePEc:vrs:foeste:v:12:y:2012:i:2:p:46-57:n:5
    DOI: 10.2478/v10031-012-0029-2
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    References listed on IDEAS

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    1. Shafiee, Shahriar & Topal, Erkan, 2010. "A long-term view of worldwide fossil fuel prices," Applied Energy, Elsevier, vol. 87(3), pages 988-1000, March.
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