This paper considers the implications of structural breaks, such as have oc
curred in many transition economies, for econometric modelling based on the
multivariate cointegration paradigm. It outlines recent developments on th
e identification of linear cointegrated systems, discusses some practical p
roblems, and presents an extension to non-linear systems. This is followed
by a discussion of the impact of structural breaks on the identification an
d estimation of such systems. Finally, it relates these issues to the other
papers in this volume. (C) 2000 Elsevier Science B.V. All rights reserved.