This paper has been prepared for Handbook of Applied Economic Statistics, edited by David Giles and Aman Ullah. It considers a particular class of single-equation nonlinear multivariate models called smooth transition regression (STR) models. Inference in these models, including testing...

We construct two models of the behavior of consumers in an environment where there is uncertainty about brand attributes. In our models, both usage experience and advertising exposure give consumers noisy signals about brand attributes. Consumers use these signals to update their expectations of...