Medeiros, Marcelo; Veiga, Alvaro - Economics Institute for Research (SIR), … - 2000
This paper considers a sequence of misspecification tests for a flexible nonlinear time series model. The model is a generalization of both the Smooth Transition AutoRegressive (STAR) and the AutoRegressive Artificial Artificial Neural Network (AR-ANN) models. The tests are Lagrange multiplier...