Hypothesis Testing on Cointegrating Vectors

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PERRYGOGAS
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Joined: Sat Nov 01, 2008 12:22 pm

Hypothesis Testing on Cointegrating Vectors

Postby PERRYGOGAS » Fri Oct 01, 2010 1:26 pm

I use within a VAR the View/Cointegration Test and I get the output that I attach here.
System 1.rtf
(29.17 KiB) Downloaded 331 times
Question:

From theory I expect to find the Cointegrating Vectors: [1,0,-1] and [0,-1,-1].

Is it possible to test directly in the "2 Cointegrating Equation(s):" panel the null that B(1,3)=-1?

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