Department of Economics and Business Economics

Timo Teräsvirta

A smooth transition logit model of the effects of deregulation in the electricity market

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Standard

A smooth transition logit model of the effects of deregulation in the electricity market. / Hurn, A. Stan; Silvennoinen, Annastiina; Teräsvirta, Timo.

In: Journal of Applied Econometrics, Vol. 31, No. 4, 2016, p. 707-733.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Hurn, AS, Silvennoinen, A & Teräsvirta, T 2016, 'A smooth transition logit model of the effects of deregulation in the electricity market' Journal of Applied Econometrics, vol. 31, no. 4, pp. 707-733. DOI: 10.1002/jae.2452

APA

CBE

Hurn AS, Silvennoinen A, Teräsvirta T. 2016. A smooth transition logit model of the effects of deregulation in the electricity market. Journal of Applied Econometrics. 31(4):707-733. Available from: 10.1002/jae.2452

MLA

Hurn, A. Stan, Annastiina Silvennoinen, and Timo Teräsvirta. "A smooth transition logit model of the effects of deregulation in the electricity market". Journal of Applied Econometrics. 2016, 31(4). 707-733. Available: 10.1002/jae.2452

Vancouver

Hurn AS, Silvennoinen A, Teräsvirta T. A smooth transition logit model of the effects of deregulation in the electricity market. Journal of Applied Econometrics. 2016;31(4):707-733. Available from, DOI: 10.1002/jae.2452

Author

Hurn, A. Stan ; Silvennoinen, Annastiina ; Teräsvirta, Timo. / A smooth transition logit model of the effects of deregulation in the electricity market. In: Journal of Applied Econometrics. 2016 ; Vol. 31, No. 4. pp. 707-733

Bibtex

@article{df33fa5333a94843aec3122932cbb59d,
title = "A smooth transition logit model of the effects of deregulation in the electricity market",
abstract = "This paper introduces the smooth transition logit (STL) model that is designed to detect and model situations in which there is structural change in the behaviour underlying the latent index from which the binary dependentvariable is constructed. The maximum likelihood estimators of the parameters of the model are derived along with their asymptotic properties, together with a Lagrange multiplier test of the null hypothesis of linearity in the underlying latent index. The development of the STL model is motivated by the desire to assess the impact of deregulation in the Queensland electricity market and ascertain whether increased competition has resulted in significant changes in the behaviour of the spot price of electricity, specifically with respect to the occurrence of periodic abnormally high prices. The model allows the timing of any change to be endogenously determined and also market participants’ behaviour to change gradually over time. The main results provide clear evidence in support of a structural change in the nature of price events, and the endogenously determined timing of the change is consistent with the process of deregulation in Queensland.",
author = "Hurn, {A. Stan} and Annastiina Silvennoinen and Timo Ter{\"a}svirta",
year = "2016",
doi = "10.1002/jae.2452",
language = "English",
volume = "31",
pages = "707--733",
journal = "Journal of Applied Econometrics",
issn = "0883-7252",
publisher = "JohnWiley & Sons Ltd.",
number = "4",

}

RIS

TY - JOUR

T1 - A smooth transition logit model of the effects of deregulation in the electricity market

AU - Hurn,A. Stan

AU - Silvennoinen,Annastiina

AU - Teräsvirta,Timo

PY - 2016

Y1 - 2016

N2 - This paper introduces the smooth transition logit (STL) model that is designed to detect and model situations in which there is structural change in the behaviour underlying the latent index from which the binary dependentvariable is constructed. The maximum likelihood estimators of the parameters of the model are derived along with their asymptotic properties, together with a Lagrange multiplier test of the null hypothesis of linearity in the underlying latent index. The development of the STL model is motivated by the desire to assess the impact of deregulation in the Queensland electricity market and ascertain whether increased competition has resulted in significant changes in the behaviour of the spot price of electricity, specifically with respect to the occurrence of periodic abnormally high prices. The model allows the timing of any change to be endogenously determined and also market participants’ behaviour to change gradually over time. The main results provide clear evidence in support of a structural change in the nature of price events, and the endogenously determined timing of the change is consistent with the process of deregulation in Queensland.

AB - This paper introduces the smooth transition logit (STL) model that is designed to detect and model situations in which there is structural change in the behaviour underlying the latent index from which the binary dependentvariable is constructed. The maximum likelihood estimators of the parameters of the model are derived along with their asymptotic properties, together with a Lagrange multiplier test of the null hypothesis of linearity in the underlying latent index. The development of the STL model is motivated by the desire to assess the impact of deregulation in the Queensland electricity market and ascertain whether increased competition has resulted in significant changes in the behaviour of the spot price of electricity, specifically with respect to the occurrence of periodic abnormally high prices. The model allows the timing of any change to be endogenously determined and also market participants’ behaviour to change gradually over time. The main results provide clear evidence in support of a structural change in the nature of price events, and the endogenously determined timing of the change is consistent with the process of deregulation in Queensland.

U2 - 10.1002/jae.2452

DO - 10.1002/jae.2452

M3 - Journal article

VL - 31

SP - 707

EP - 733

JO - Journal of Applied Econometrics

T2 - Journal of Applied Econometrics

JF - Journal of Applied Econometrics

SN - 0883-7252

IS - 4

ER -