In this paper, we derive Lagrange multiplier and Lagrange multiplier type specification and misspecification tests for vector smooth transition models. We report results from simulation studies in which the size and power properties of the proposed tests in small samples are considered. The...

This paper has been prepared for Handbook of Applied Economic Statistics, edited by David Giles and Aman Ullah. It considers a particular class of single-equation nonlinear multivariate models called smooth transition regression (STR) models. Inference in these models, including testing...

This paper studies a special class of vector smooth-transition autoregressive (VS- TAR) models containing common nonlinear features (CNFs). To test the existence of CNFs in a VSTAR model, a triangular representation for such a system containing CNFs is proposed. A procedure of testing CNFs in a...

We consider a nonlinear vector model called the logistic vector smooth transition autoregressive model. The bivariate single-transition vector smooth transition regression model of Camacho (2004) is generalised to a multivariate and multitransition one. A modelling strategy consisting of...