This study addresses some modeling questions related to the possibility of structural change in models with non-stationary variables. Focusing on cointegration issues, some methodological aspects ere discussed, attempting to integrate coherently the several steps of the modelling strategy. These...

VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three different methods for estimating the Kronecker indices of echelon-form VARMA models are discussed and compared. The three methods are expected to work even for non-stationary...