Granger Causality Test and Chow Breakpoint Test on the Romanian Day Ahead Electricity Market

In this paper we will apply the causality Granger test between the closure prices on Romanian day ahead energy markets and different primary energy sources production (coal, hydrocarbons, nuclear, wind and hydro energy). We will apply also the Chow breakpoint test for the prices independently, and for the prices expressed in terms of above energy sources.From practical reasons (because we have obtained seasonal components for the involved time series) we will generalize the Granger causality test such that we take into account the seasonal components. (C) 2015 The Authors. Published by Elsevier B.V.