Vector smooth transition regression models for US GDP and the composite index of leading indicators

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Linearity and misspecification tests for vector smooth transition regression models (2014, methodology): “The first one of these has already been considered in the bivariate case by Camacho (2004).”
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications (2014, methodology): “Parameter estimation is carried out by nonlinear least squares, and a major tool at the evaluation stage is a set of misspecification tests as in Teräsvirta (1996), Teräsvirta (1998) and Camacho (2004). The dynamic behaviour of the model is characterised by generalised impulse response functions. Th”
Spillovers between Bitcoin and other assets during bear and bull markets (2018, methodology): “In the spirit of Tsay’s (1989) seminal methodology, Camacho (2004) proposed a step-wise procedure to model the nonlinear VAR model with a smooth transition specification.”
THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013, methodology): “where ηt ∼ iidN (0,Ση); see Camacho (2004) or Yang and Teräsvirta (2013). Under the null hypothesis, Λj = 0, j = 1, ..., q. If the corresponding hypothesis is tested equation by equation, the contemporaneous cross-correlations between errors are ignored. The tests of no additive nonlinearity and par”