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

Stan Hurn, Annastiina Silvennoinen and Timo Teräsvirta

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

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. JEL Classification: C23, C51, L94, Q41.

Keywords: Smooth transition; binary choice model; logit model; electricity spot prices; peak load pricing; price spikes (search for similar items in EconPapers)
Pages: 32
Date: 2014-03-28
New Economics Papers: this item is included in nep-dcm, nep-ecm, nep-ene, nep-ger and nep-ind
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market (2016)
Working Paper: A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2014-09

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