摘要：A simple procedure for the specification of the transition function describing the regimeswitch in nonlinear autoregressive models is proposed. This procedure is based onauxiliary regressions of unit root tests and is applicable to a variety of transitionfunctions. In contrast to other procedures, complicated and computer-intense estima-tion of the candidate models is not necessary. Our approach entirely relies on OLSestimation of auxiliary regressions instead. We use standard information criteria forthe selection of the unknown transition function. Our Monte Carlo simulations revealthat the approach works well in practice. Empirical applications to the S&P500 price-earnings ratio and the US interest spread highlight the merits of our suggested procedure
关键词：Nonlinearity · Smooth transition · Threshold model · Model selection · Unit;root
