THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
推导了基于条件误差修正模型的t检验的渐近分布，证明当协整向量预先指定时，该检验比估计协整向量的单一方程检验具有更高效力，并分析了误设协整向量时的高效力情形。
In this paper I present an alternative derivation of the asymptotic distribution of Kremers, Ericsson, and Dolado's (1992, Oxford Bulletin of Economics and Statistics 54, 325–348) conditional error correction model (ECM)–based t -test for cointegration with a single prespecified cointegrating vector. This alternative distribution, which is identical to the distribution of Hansen's (1995, Econometric Theory 11, 1148–1171) covariate augmented t -test for a unit root, is valid for weakly exogenous regressors and depends on a consistently estimable nuisance parameter that takes on values in the unit interval. I show analytically, using asymptotic power functions based on near-cointegrated alternatives, that the ECM t -test with a prespecified cointegrating vector can have much higher power than single equation tests for cointegration based on estimating the cointegrating vector. I also characterize situations in which the ECM t -test computed with a misspecified cointegrating vector will have high power.