In this paper, we consider asymptotic inference in the multivariate BEKK model based on (co)variance targeting (VT). By definition the VT estimator is a two‐step estimator and the theory presented is based on expansions of the modified likelihood function, or estimating function, corresponding...

Cointegration is studied for a non-linear autoregressive process characterized by discontinuous and regime-dependent equilibrium or error correction. Here the disequilibrium, as measured by the norm of linear "stable" or cointegrating relations, determines the regime and hence the equilibrium...

The issue of including stationary explanatory variables is addressed in the vector autoregressive (VAR) model, when testing for cointegration rank. It is shown that simply in-cluding stationary explanatory variables as extra regressors will lead to nuisance parameters in the asymptotic...

The application of rescaled range statistics in econometrics is restricted to long memory detection in economic and financial time series. However, in this paper it is shown how such statistics can be generalized and used to test the unit root hypothesis. The proposed generalizations lead to...

processes observationally equivalent and that unit root tests virtually have no power to detect stationary processes around switching trends, although autocorrelation-robust unit root tests are not affected by size distortions. Conversely, Markov switches in the mean of the transitory components...

In the context of regression-based (quarterly) seasonal unit root tests, we examine the impact of initial conditions (one for each quarter) of the process on test power. We investigate the behaviour of the well-known OLS detrended HEGY seasonal unit root tests together with their...

In this paper we consider the problem of testing the null hypothesis that a series has a constant level (possibly as part of a more general deterministic mean) against the alternative that the level follows a random walk. This problem has previously been studied by, inter alia, Nyblom and...