Specification, estimation and evaluation of vector smooth transition autoregressive models with applications

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THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013, methodology): “Tsay (1998) showed that under regularity conditions including the existence of fourth moments for all variables and the error process, the least squares estimators, including that of c1, are consistent.”
Linearity and misspecification tests for vector smooth transition regression models (2014, methodology): “They are needed for the strategy for building LVSTAR models developed and applied in Teräsvirta and Yang (2014).”