| Popis: |
In this paper, we introduce the smooth transition duration model, designed to model the dependence of duration on explanatory variables, allowing the duration time to vary with smooth transitions over different regimes. The proposed model is a generalization of parametric survival regression models and makes it possible to detect a non-linear behaviour when the response of interest is duration time until some event occurs. A Lagrange multiplier (LM) test of the null hypothesis of linearity is derived together with the maximum likelihood estimators of the smooth transition duration model. The practical use of the introduced model is exemplified by assessing the time between abnormal price increases in the electricity spot prices in Queensland, Australia. A deregulation might have led to a change in the behaviour of the market participants and the smooth transition duration model is used to detect and examine such possible transitions. The results show a clear support of a gradual change in the appearance of abnormal price increases. |
