MEDEIROS, MARCELO C.; VEIGA, ALVARO - In: Journal of Time Series Analysis 24 (2003) 4, pp. 461-482
This paper considers a sequence of misspecification tests for a flexible nonlinear time series model. The model is a generalization of both the smooth transition autoregressive (STAR) and the autoregressive artificial neural network (AR-ANN) models. The tests are Lagrange multiplier (LM) type...
