@article{Kadilli:11554,
      recid = {11554},
      author = {Kadilli, Anjeza and Krishnakumar, Jaya},
      title = {Smooth transition simultaneous equation models},
      journal = {Journal of economic dynamics and control},
      address = {2022-10},
      number = {ARTICLE},
      pages = {26 p.},
      abstract = {This paper proposes a generalization of the nonlinear  simultaneous equation model of Pesaran and Pick (2007) by  modelling the comovement between the two endogenous  variables as a smooth function of the magnitude of the  endogenous variable rather than a step function. The  threshold and the speed at which a shock is transmitted are  estimated with the other parameters of the model. We  investigate the properties of an accurate estimation
method  which takes into account endogeneity, and a testing  procedure for simultaneity in the presence of nuisance  parameters under the null hypothesis. We study the  conditions on the parameters that ensure the uniqueness of  the implicit reduced form of the model. We apply this  methodology to the comovement between the sovereign and  banking sectors of nine developed countries.},
      url = {http://arodes.hes-so.ch/record/11554},
      doi = {https://doi.org/10.1016/j.jedc.2022.104546},
}