The question about the Horvath and Watson procedure (1995)

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

The question about the Horvath and Watson procedure (1995)

Postby superxiaobeibei » Fri Jul 15, 2011 3:53 pm

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.

Could any one explain the detailed steps of the Horvath and Watson procedure for me? I will really appreciate that!

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