Systems of economic data potentially exhibit a number of common features, which aid both econometric modelling and economic interpretation. This paper surveys a variety of common features and applies the corresponding testing and estimation techniques to systems of macroeconomic time series in...

Techniques for testing the null hypothesis of difference stationarity against stationarity around some deterministic function have received much attention. In particular, unit root tests where the alternative is stationarity around a smooth transition in a linear trend have recently been...