Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified

Michael T.K. Horvath and Mark W. Watson

Econometric Theory, 1995, vol. 11, issue 05, pages 984-1014

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.

Date: 1995
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