In this paper, we propose a new class of regime shift models with exible switching mechanism that relies on a nonparametric probability function of the observed thresh- old variables. The proposed models generally embrace traditional threshold models with contaminated threshold variables or...

In this paper, we propose a new class of regime shift models with flexible switching mechanism that relies on a nonparametric probability function of the observed threshold variables. The proposed models generally embrace traditional threshold models with contaminated threshold variables or...