This paper uses several methods to study the interrelationship among Divisia monetary aggregates, prices, and income, allowing for nonstationary, nonlinearities, asymmetries, and time-varying relationships among the series. We propose a multivariate regime switching unobserved components model...

We develop a representation of nonlinear integrated vector processes based on the martingale representation theorem of Hall and Heyde (1980). In the representation, linear combinations of the components of the vector process may be stationary, so the system may be linearly cointegrated, yet...