In some cases the unit root or near unit root behavior of linear autoregressive models fitted to economic time series is not in accordance with the underlying economic theory. To accommodate this feature we consider a threshold autoregressive (TAR) process with the threshold effect only in the...

Tests for the cointegrating rank of a vector autoregressive process are considered that allow for possible exogenous shifts in the mean of the data-generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean,...

This article develops test procedures for checking the validity of general normalizing restrictions imposed on cointegrating vectors in vector autoregressive processes. Such test procedures are of importance because normalizing restrictions, possibly combined with overidentifying restrictions,...