Michael Horvath

Tuck School of Business
Dartmouth College
Hanover, NH 03755

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Dartmouth College

NBER Working Papers and Publications

December 1994Testing for Cointegration When Some of the Contributing Vectors are Known
with Mark W. Watson: t0171
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 unkn...

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