Nonlinear time series models, especially those with regime-switching and/or conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little...

This paper presents econometric estimates for the Brazilian aggregate imports over the period 1996-2010. To the best of our knowledge, this is the first paper that uses the Brazilian quarterly national accounts with this goal in mind. Besides estimating a demand equation (canonical model), as it...