Konstantinos Metaxoglou and Aaron Smith, "Efficiency of the California
Electricity Reserves Market", Journal of Applied Econometrics, Vol. 22, 
No. 6, 2007, pp. 1127-1144.

All data files are ASCII files in DOS format. They are zipped in the file
ms-data.zip. All Marlab code files are also ASCII files in DOS format. They
are zipped in the file ms-matlab.zip. In both cases, Unix users should use
"unzip -a".

The data files, and their lengths in bytes, are:

  ns_crisis.txt      244611
  ns_post_crisis.txt 243991
  ns_pre_crisis.txt  157467
  rd_crisis.txt	     246886
  rd_post_crisis.txt 248225
  rd_pre_crisis.txt  160864
  ru_crisis.txt	     248651
  ru_post_crisis.txt 249660
  ru_pre_crisis.txt  160069
  sp_crisis.txt      243414
  sp_post_crisis.txt 246945
  sp_pre_crisis.txt  153341

There are twelve tab-delimited text files containing data. These text files
contain market clearing prices related to four types of reserves (ancillary
services) for the California Independent System Operator (CAISO) between
1999-08-01 and 2002-08-31.

The four types of reserves included are:
regulation down  (rd)
regulation up    (ru)
spinning         (sp)
and non-spinning (ns)

All the data are publicly available from the OASIS website of the CAISO at:

                     http://oasis.caiso.com

The interested reader should run the Ancillary and subsequently the
day-ahead (DA) or hour-ahead (HA) Final Market Clearing Price (MCP) query

Instructions for automated downloading are provided at the CAISO website

The MCPs reported here are for North Path 15 (NP15)

-----------------------------------------
General Information about the file format:
-----------------------------------------

a. The first two characters in the file names indicate reserve type


b. The suffixes pre_crisis, crisis, and crisis in the file names refer
to the following periods:

 pre_crisis: 1999-08-01 -- 2000-04-30,  6568 observations
     crisis: 2000-05-01 -- 2001-06-30, 10248 observations
post_crisis: 2001-07-01 -- 2002-08-31, 10224 observations


c. All the files have the same column format

column 1: date in yyyymmdd
column 2: hour 1 to 24
column 3: day-ahead  (DA) price
column 4: hour-ahead (HA) price
column 5: indicator variable (0/1), 1: indicates missing.


d. For the definition of missing, the reader should refer to
the last paragraph of section 2 as well as to the discussion
in the 3rd paragraph of section 4.1 in the paper

*****

Matlab code for the implementation of the EM Algorithm is contained in the
zip file ms-matlab.zip. The code files, and their lengths in bytes, are:

  bj_serrs.m	     1284
  estimation.asv    12209
  ma_coeffs.m	      591
  main.m            12599
  readme.txt	      224
  serrs.m	     2144
  ss_gain_yvar.m     1705
  ss_smooth.m	     2650
  symmat2vec.m	      223
  vec2symmat.m	      281
  vecr.m               40

Konstantinos Metaxoglou, konstantinos.metaxoglou [AT] bateswhite.com
Aaron Smith,             adsmith [AT] ucdavis.edu