Joint Null Testing & Johansen
Posted: Sat Aug 29, 2009 4:51 pm
Hi everyone,
Another newbie here, I was wondering if anyone could help me with a joint null hypothesis test within the Johansen framework. The spot vs. futures regression I wanted to estimate was:
s = a + bf + e.
I did the VAR, but I’m not sure how I should impose restrictions to come up with a joint test of a = 0 & b = 1. Any help will be much appreciated.
Thank you!
Another newbie here, I was wondering if anyone could help me with a joint null hypothesis test within the Johansen framework. The spot vs. futures regression I wanted to estimate was:
s = a + bf + e.
I did the VAR, but I’m not sure how I should impose restrictions to come up with a joint test of a = 0 & b = 1. Any help will be much appreciated.
Thank you!