Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified

Many economic models imply that ratios, simple differences, or “spreads” of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's, and —1's and contain no unknown parameters. In this paper, we develop tests for cointegration that can be applied when some...

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Veröffentlicht in:	Econometric theory 1995-12, Vol.11 (5), p.984-1014
Hauptverfasser:	Horvath, Michael T.K., Watson, Mark W.
Format:	Artikel
Sprache:	eng
Schlagworte:	Critical values Econometrics Economic models Estimators Foreign exchange Inference Mathematical economics Mathematical vectors Matrices Null hypothesis Power gain Statistical theories Statistics
Online-Zugang:	Volltext
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