This paper proposes a residual-based cointegration test with improved power. Based on the idea of Hansen (1995) and Elliot and Jansson (2003) in the unit root testing case, stationary covariates are used to improve the power of the residual-based augmented Dickey–Fuller (ADF) test. The...

Abstract: We consider the local identification of parameters in structural VAR models with ARCH type errors. By establishing a mapping between the structural and reduced-form models, we provide a set of sufficient conditions for the joint identification of all parameters. Under these conditions,...

Abstract: We derive asymptotic properties of the quasi-maximum likelihood estimator of smooth transition regressions when time is the transition variable. The consistency of the estimator and its asymptotic distribution are examined. It is shown that the estimator converges at the usual -rate...