@TechReport{dp-500,
  author        = {Kaufmann, Hendrik and Kruse, Robinson and Sibbertsen,
                  Philipp},
  astring       = {Hendrik Kaufmann, Robinson Kruse and Philipp Sibbertsen},
  title         = {A simple specification procedure for the transition
                  function in persistent nonlinear time series models},
  year          = {2012},
  number        = {500},
  month         = {July},
  pages         = {22},
  size          = {1800},
  abstract      = {A simple procedure for the specification of the transition
                  function describing the regime switch in nonlinear
                  autoregressive models is proposed. This procedure is based
                  on auxiliary regressions of unit root tests and is
                  applicable to a variety of transition functions. In
                  contrast to other procedures, complicated and
                  computer-intense estimation of the candidate models is not
                  necessary. Our approach entirely relies on OLS estimation
                  of auxiliary regressions instead. We use standard
                  information criteria for the selection of the unknown
                  transition function. Our Monte Carlo simulations reveal
                  that 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.},
  jelclass      = {C15, C22, C52},
  keywords      = {Nonlinearity, Smooth transition, Threshold model, Model
                  selection, Unit root}
}