Dijk, Dick van; Fok, Dennis; Franses, Philip Hans - In: Journal of Applied Econometrics 20 (2005) 6, pp. 811-827
We introduce a multi-level smooth transition model for a panel of time series, which can be used to examine the presence of common nonlinear business cycle features across many variables. The model is positioned in between a fully pooled model, which imposes such common features, and a fully...
