This paper studies a special class of vector smooth-transition autoregressive (VS- TAR) models containing common nonlinear features (CNFs). To test the existence of CNFs in a VSTAR model, a triangular representation for such a system containing CNFs is proposed. A procedure of testing CNFs in a...

This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so-called pseudo-structural form used in the literature. Codependence of order q is given if a linear combination of autocorrelated variables eliminates the serial correlation after q...

This article introduces the concept of co-non-linearity. Co-non-linearity is an example of a common feature in time series (Engle and Koziciki, 1993, J. Bus. Econ. Statist.) and an extension of the concept of common nonlinear components (Anderson and Vahid, 1998, J. Econometrics). If some time...

This paper proposes a test for common conditionally heteroskedastic (CH) features in asset returns. Following Engle and Kozicki (1993), the common CH features property is expressed in terms of testable overidentifying moment restrictions. However, as we show, these moment conditions have a...

This paper studies a special class of vector smooth-transition autoregressive (VS- TAR) models containing common nonlinear features (CNFs). To test the existence of CNFs in a VSTAR model, a triangular representation for such a system containing CNFs is proposed. A procedure of testing CNFs in a...

This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so-called pseudo-structural form used in the literature. Codependence of order q is given if a linear combination of autocorrelated variables eliminates the serial correlation after q...