Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UKSoren Johansen () and Katarina Juselius No 90-05, Discussion Papers from University of Copenhagen. Department of Economics Abstract: This paper develops some new tests for structural hypotheses in the framework of a multivariate error correction model with Gausian errors. The tests are constructed by an analysis of the likelihood function and motivated by an empirical investigation of the PPP relation and the UIP relation for the United Kingdom. Three types of tests are discussed. First, the authors' consider the same linear restrictions on all cointegration relations, then they consider the hypothesis that certain relations are assumed to be cointegrating, and finally they formulate a general hypothesis that contains the previous ones. This hypothesis can be expressed by the conditions that some of the cointegrating relations are subject to given linear restrictions, while others are unconstrained. Keywords: multivariate analysis; PPP; exchange rates and markets; UK (search for similar items in EconPapers) Published as: "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for the UK", in: Journal of Econometrics, 53(1-3) 1992, pp. 211-244 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: http://EconPapers.repec.org/RePEc:kud:kuiedp:9005 Ordering information: This working paper can be ordered from Access Statistics for this paper More papers in Discussion Papers from University of Copenhagen. Department of Economics |
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