How to perform the Horvath and Watson procedure

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How to perform the Horvath and Watson procedure

Postby superxiaobeibei » Sat Jul 16, 2011 1:38 am


I am trying to perform the PPP hypothesis test based on cointegration techniques. I have already known how to use the Johansen procedure to test the cointegration. However, since I would like to use the Horvath and Watson procedure (1995) which tests the cointegration after imposing the unitary elastic restriction on the cointegrating relation instead. I dont know how to perform it by Eviews.

Does any one know the detailed steps of the Horvath and Watson procedure? I will appreciate that if someone could help!

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