Discriminating between competing STAR models

We propose a pseudo-true score encompassing test to distinguish between competing smooth transition autoregressive (STAR) models. The proposed test is easy to implement and applicable to all STAR models. Our Monte Carlo simulations show that the proposed test significantly outperforms the model selection rules of Teräsvirta and Anderson [Journal of Applied Econometrics, 7 (1992) S119] and Teräsvirta [Journal of the American Statistical Association, 89 (1994) 208].