(Panel) Smooth Transition Regressions substantially gained in popularity due to their flexibility in modeling … regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however … estimation time, rendering their application less appealing. This paper proposes a Lagrange multiplier test indicating whether …

choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over …

in the absence of estimation risk, the unconditional backtest is affected by model misspecification but the independence …