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Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified

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Author Info
Horvath, Michael T.K.
Watson, Mark W.
Abstract

Many economic models imply that ratios, simple differences, or of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's, and spot premium.

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File URL: http://journals.cambridge.org/abstract_S0266466600009944
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 11 (1995)
Issue (Month): 05 (October)
Pages: 984-1014
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Handle: RePEc:cup:etheor:v:11:y:1995:i:05:p:984-1014_00

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