02375cam a22002657 4500001000600000003000500006005001700011008004100028100002700069245014700096260006600243490005100309500001900360520110100379530006101480538007201541538003601613690006901649690017001718700002001888710004201908830008601950856003702036856003602073t0171NBER20140828192805.0140828s1994 mau||||fs|||| 000 0 eng d1 aHorvath, Michael T. K.10aTesting for Cointegration When Some of the Contributing Vectors are Knownh[electronic resource] /cMichael T. K. Horvath, Mark W. Watson. aCambridge, Mass.bNational Bureau of Economic Researchc1994.1 aNBER technical working paper seriesvno. t0171 aDecember 1994.3 aMany 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. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aC13 - Estimation: General2Journal of Economic Literature class. 7aC32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes2Journal of Economic Literature class.1 aWatson, Mark W.2 aNational Bureau of Economic Research. 0aTechnical Working Paper Series (National Bureau of Economic Research)vno. t0171.4 uhttp://www.nber.org/papers/t017141uhttp://dx.doi.org/10.3386/t0171