Vector Smooth Transition Error Correction Model (VSTECM)
Posted: Tue Jun 09, 2026 4:32 pm
Hi,
I need to estimate a system of error correction models embedding smooth transition-type non-linearities, namely a vector smooth transition error correction model (VSTECM). Eviews provides a built-in vector error correction (VEC) procedure. Can I use VEC and specify in each equation a non-linear error correction mechanism where the parameter of the error correction term is modulated by a smooth transition function, such as a logistic or expontential function? In other words, can I combine VEC with nonlinear transition functions?
Alternatively, is a VSTECM available as an add-in ? This would obviously be my preferred option. If not, any advice would be greatly appreciated.
Many thanks.
I need to estimate a system of error correction models embedding smooth transition-type non-linearities, namely a vector smooth transition error correction model (VSTECM). Eviews provides a built-in vector error correction (VEC) procedure. Can I use VEC and specify in each equation a non-linear error correction mechanism where the parameter of the error correction term is modulated by a smooth transition function, such as a logistic or expontential function? In other words, can I combine VEC with nonlinear transition functions?
Alternatively, is a VSTECM available as an add-in ? This would obviously be my preferred option. If not, any advice would be greatly appreciated.
Many thanks.