In this note, we investigate a test for the existence of a middle "band of inaction" in a three-regime threshold vector error correction model (TVECM). For this purpose we propose a supremum Wald statistic, derive its limiting distribution and calculate its critical values through simulations.

This paper studies the bootstrap procedures for time-series regressions with unit root processes. It is shown that the suggested bootstrap approximation to the distribution of least-squares estimator is asymptotically valid. Simulation results indicate that the bootstrap method provides...