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

Publikation: Working paper/Preprint Working paperForskning

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  • rp14_09

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  • A.S. Hurn, Queensland University of Technology, Australien
  • Annastiina Silvennoinen, Queensland University of Technology QUT, Australien
  • 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.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider32
StatusUdgivet - 28 mar. 2014
SerietitelCREATES Research Papers
Nummer2014-09

    Forskningsområder

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

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