Electricity pool prices: a case study in nonlinear time-series modelling

被引：25
|
作者：
Robinson, TA [1 ]
机构：
[1] Univ Manchester, Inst Sci & Technol, Manchester Sch Management, Manchester M60 1QD, Lancs, England
来源：
APPLIED ECONOMICS | 2000年 / 32卷 / 05期
关键词：
D O I：
10.1080/000368400322435
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper considers modelling the behaviour of prices in the English and Welsh wholesale electricity Pool since the creation of this spot market in 1990. The process turns out to be nonlinear and a logistic smooth transition autoregressive model is fitted and shown to be superior to a linear alternative. The behaviour of the estimated model is discussed, and it is seen that nonlinearity is needed to describe the institutional characteristics and historical path of pool prices.
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页码：527 / 532
页数：6
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