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...