Fok, D.; Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2003
We introduce a multi-level smooth transition model for a panel of time series variables, which can be used to examine the presence of common non-linear features across many such variables. The model is positioned in between a fully pooled model, which imposes such common features, and a fully...