Thresholds and Smooth Transitions in Vector Autoregressive Models

This survey focuses on two families of nonlinear vector time series models, the family of Vector Threshold Regression models and that of Vector Smooth Transition Regression models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in the equations. The emphasis is on stationary models, but the considerations also include nonstationary Vector Threshold Regression and Vector Smooth Transition Regression models with cointegrated variables. Model specifi?cation, estimation and evaluation is considered, and the use of the models illustrated by macroeconomic examples from the literature.