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 paperResearch

Standard

A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. / Hurn, A.S.; Silvennoinen, Annastiina; Teräsvirta, Timo.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

Research output: Working paperResearch

Harvard

Hurn, AS, Silvennoinen, A & Teräsvirta, T 2014 'A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Hurn, A. S., Silvennoinen, A., & Teräsvirta, T. (2014). A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2014-09

CBE

Hurn AS, Silvennoinen A, Teräsvirta T. 2014. A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Hurn, A.S., Annastiina Silvennoinen, and Timo Teräsvirta A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2014-09). 2014., 32 p.

Vancouver

Hurn AS, Silvennoinen A, Teräsvirta T. A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. Aarhus: Institut for Økonomi, Aarhus Universitet. 2014 Mar 28.

Author

Hurn, A.S. ; Silvennoinen, Annastiina ; Teräsvirta, Timo. / A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. Aarhus : Institut for Økonomi, Aarhus Universitet, 2014. (CREATES Research Papers; No. 2014-09).

Bibtex

@techreport{ddade6044d6b4e879185b1aff9078ce7,
title = "A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market",
abstract = "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.",
keywords = "Smooth transition, binary choice model, logit model, electricity spot prices, peak load pricing, price spikes",
author = "A.S. Hurn and Annastiina Silvennoinen and Timo Ter{\"a}svirta",
year = "2014",
month = "3",
day = "28",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market

AU - Hurn, A.S.

AU - Silvennoinen, Annastiina

AU - Teräsvirta, Timo

PY - 2014/3/28

Y1 - 2014/3/28

N2 - 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.

AB - 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.

KW - Smooth transition, binary choice model, logit model, electricity spot prices, peak load pricing, price spikes

M3 - Working paper

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

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -