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Nonlinearity testing for this specification uses a search over a plausible set of weight function parameters, combined with bootstrap inference. Finite\u2010sample results show that the recommended wild bootstrap heteroskedasticity\u2010robust testing procedure performs well, for both homoskedastic and heteroskedastic data\u2010generating processes. Forecast comparisons relative to linear models and other nonlinear specifications of the smooth transition form confirm that the new WSTR model delivers good performance. 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