In this paper, we derive Lagrange multiplier and Lagrange multiplier type specification and misspecification tests for vector smooth transition models. We report results from simulation studies in which the size and power properties of the proposed tests in small samples are considered. The...

This paper addresses an important and challenging issue as how best to model nonlinear asymmetric dynamics and cross-sectional heterogeneity, simultaneously, in the dynamic threshold panel data framework, in which both threshold variable and regressors are allowed to be endogenous. Depending on...

In this paper, we derive Lagrange multiplier and Lagrange multiplier type specification and misspecification tests for vector smooth transition models. We report results from simulation studies in which the size and power properties of the proposed tests in small samples are considered. The...

A maioria dos estudos de integração de mercados que utiliza a técnica de cointegração com threshold não se preocupa em testar qual o número de regimes de ajustamento de preços é o mais adequado. Neste estudo, utiliza-se um procedimento para determinar o número de regimes...