policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and …

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth … transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one …, no asymptotic properties are claimed for the proposed method. Tests available for testing the adequacy of a smooth …

aim of avoiding the estimation of unidentified models. Misspecification tests are derived for evaluating an estimated … forecasting ; nonlinear time series ; smooth transition autoregression ; sunspot series ; threshold autoregression ; financial …

This paper considers testing the unit root hypothesis against a smooth transition autoregressive model as the … rejected in favor of the stationary nonlinear model, supporting the purchasing power parity hypothesis. -- Smooth transition … autoregressive model ; nonlinearity ; unit root ; Brownian motion ; bootstrap ; critical values ; Monte Carlo simulations ; real …

literature. An advantage here is that the asymptotic distribution theory is standard. The performance of the tests is compared to … ; misspecification test ; parameter stability ; smooth transition ; structural break …