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To motivate our analysis and illustrate the various issues involved, our discussion is structured around the analysis of the long\u2010run properties of US stock prices and dividends. It is shown that the MEC model is flexible enough to account for situations where deviations from the long\u2010run equilibrium are nonstationary in one of the states of nature and allows us to test for such a possibility. An empirical specification procedure to establish the existence of MEC adjustment in practice is also presented. This is based on a multi\u2010step test procedure that exploits the differences between the global and local characteristics of systems with MEC adjustment. 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