Hurn, A.S.; Silvennoinen, Annastiina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2014
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...
