  This study defines a multivariate Self--Exciting Threshold Autoregressive
with eXogenous input (MSETARX) models and present an estimation procedure for
the parameters. The conditions for stationarity of the nonlinear MSETARX models
is provided. In particular, the efficiency of an adaptive parameter estimation
algorithm and LSE (least squares estimate) algorithm for this class of models
is then provided via simulations.
