Department of Economics and Business Economics

Timo Teräsvirta

A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market

Research output: Working paper

Documents

  • rp14_09

    Submitted manuscript, 1 MB, PDF-document

    A.S. Hurn, Queensland University of Technology, AustraliaAnnastiina Silvennoinen, Queensland University of Technology QUT, Australia
  • Timo Teräsvirta
We consider a nonlinear vector model called the logistic vector smooth transition autoregressive model. The bivariate single-transition vector smooth transition regression model of Camacho (2004) is generalised to a multivariate and multitransition one. A modelling strategy consisting of specification, including testing linearity, estimation and evaluation of these models is constructed. Nonlinear least squares estimation of the parameters of the model is discussed. Evaluation by misspecification tests is carried out using tests derived in a companion paper. The use of the modelling strategy is illustrated by two applications. In the first one, the dynamic relationship between the US gasoline price and consumption is studied and possible asymmetries in it considered. The second application consists of modelling two well known Icelandic riverflow series, previously considered by many hydrologists and time series analysts.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages32
StatePublished - 28 Mar 2014
SeriesCREATES Research Papers
Number2014-09

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