How to perform the Horvath and Watson procedure

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

superxiaobeibei
Posts: 2
Joined: Fri Jul 15, 2011 3:37 pm

How to perform the Horvath and Watson procedure

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

Hi

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!

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 4 guests