THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS

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Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models (2014, unknown): “…not been frequently considered in the previous literature albeit it has recently awoken increasing interest (see, e.g., Karamé, 2012 and 2015, and Hubrich and Teräsvirta, 2013, 313 315, who discuss GIRFs in Markov-switching and threshold and smooth transition vector autoregressive models,…”
Linearity and misspecification tests for vector smooth transition regression models (2014, unknown): “For a recent survey of Vector Threshold Autoregressive (VTAR) and LVSTAR models, see Hubrich and Teräsvirta (2013).”
Bayesian nonparametric vector autoregressive models (2018, unknown): “For a comprehensive survey see Hubrich and Teräsvirta (2013).”
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications (2014, background): “For a recent survey of vector TAR and STAR models, see Hubrich and Teräsvirta (2013).”