In this note, we investigate a test for the existence of a middle "band of inaction" in a three-regime threshold vector error correction model (TVECM). For this purpose we propose a supremum Wald statistic, derive its limiting distribution and calculate its critical values through simulations.

The paper generalises estimation and inference procedures for a threshold VECM with more than one cointegrating relation. We derive estimators of long-run parameters and loading factors by means of a reduced rank regression. We provide their asymptotic distributions and propose a testing...