Unit root tests and structural breaks in the Swedish
electricity price

Abstract: The purpose of this thesis was to examine the Swedish electricity price in
order to determine whether there are any structural breaks in the time
series. Both the nominal and the real price of electricity under the period
1900 to 2006 are examined. The theoretical framework used in this thesis is
different tests for unit root and structural breaks in time series. Tests
for both exogenously and endogenously determined breaks are performed.
Different quantitative methods for measuring structural breaks are applied
in order to compare any differences. The results showed that both the
nominal and real electricity price exhibits unit root and that breaks are
most likely to occur rapidly. Both series exhibits a break around 1945 a
time when the Swedish economy was growing and the demand for electricity
was increasing. The results implies that more than one test should be used
and compared when testing for structural breaks in time series.