Sebastian Majewski

Institute of Economics and Finance, 

University of Szczecin,

Poland

sebastian.majewski@usz.edu.pl

ORCID 0000-0003-3072-5718

Analysis of the properties of weather regressors for econometric modelling: Example of weather stations in Poland

Urszula Mentel

Department of Projects Management and Security Policy, 

Rzeszow University of Technology,

Poland

u.mentel@prz.edu.pl

ORCID 0000-0003-2060-8980

Abstract. Many recent works indicate the existence of a significant relationship between weather factors such as pressure, humidity, windspeed, sum of falls or sunshine and rates of return for stocks quoted on stock exchange. A properly conducted econometric study requires a careful analysis of the properties of the factors that will be used in the econometric model to explain the development of the dependent variable. The aim of the research is to check if the weather factors could be used as econometric regressors by verifying their statistical propensities. The analysis was held on the weather stations located in eight cities in Poland: Poznan, Kolo, Plock, Warsaw, Wroclaw, Opole, Katowice and Rzeszow. These cities host registered offices of the biggest companies of the energy sector in Poland. The research methods were focused around basic statistics and normality tests of distributions of weather factors' (four types), as well as the autocorrelation of regressors.

Received: June, 2021

1st Revision: February, 2022

Accepted: June, 2022

DOI: 10.14254/2071-8330.2022/15-2/9

JEL Classification: Q54, N7, C46, C55

Keywords: weather, sustainability, energy sector stocks, statistics, econometrics