| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0171 |
| 来源ID | Technical Working Paper 0171 |
| Testing for Cointegration When Some of the Contributing Vectors are Known | |
| Michael T. K. Horvath; Mark W. Watson | |
| 发表日期 | 1994-12-01 |
| 出版年 | 1994 |
| 语种 | 英语 |
| 摘要 | 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 of the cointegrating vectors are known under the null or under the alternative hypotheses. These tests are constructed in a vector error correction model (VECM) and are motivated as Wald tests in the version of this Gaussian model. When all of the cointegrating vectors are known under the alternative, the tests correspond to the standard Wald tests for the inclusion of error correction terms in the VAR. Modifications of this basic test are developed when a subset of the cointegrating vectors contains unknown parameters. The asymptotic null distribution of the statistics are derived, critical values are determined, and the local power properties of the test are studied. Finally, the test is applied to data on foreign exchange future and spot prices to test the stability of forward-spot premium. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0171 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562364 |
| 推荐引用方式 GB/T 7714 | Michael T. K. Horvath,Mark W. Watson. Testing for Cointegration When Some of the Contributing Vectors are Known. 1994. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0171.pdf（1268KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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