  In many applications, data are observed as matrices with temporal dependence.
Matrix-variate time series modeling is a new branch of econometrics. Although
stylized facts in several fields, the existing models do not account for regime
switches in the dynamics of matrices that are not abrupt. In this paper, we
extend linear matrix-variate autoregressive models by introducing a
regime-switching model capable of accounting for smooth changes, the matrix
smooth transition autoregressive model. We present the estimation processes
with the asymptotic properties demonstrated with simulated and real data.
