{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,29]],"date-time":"2025-12-29T22:09:00Z","timestamp":1767046140540},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2000,6,1]],"date-time":"2000-06-01T00:00:00Z","timestamp":959817600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2000,6]]},"abstract":"<jats:p>In this paper I present an alternative derivation \nof the asymptotic distribution of Kremers, Ericsson, and \nDolado's (1992, <jats:italic>Oxford Bulletin of Economics and \nStatistics<\/jats:italic> 54, 325\u2013348) conditional error correction \nmodel (ECM)\u2013based <jats:italic>t<\/jats:italic>-test for cointegration \nwith a single prespecified cointegrating vector. This alternative \ndistribution, which is identical to the distribution of \nHansen's (1995, <jats:italic>Econometric Theory<\/jats:italic> 11, 1148\u20131171) \ncovariate augmented <jats:italic>t<\/jats:italic>-test for a unit root, is \nvalid for weakly exogenous regressors and depends on a \nconsistently estimable nuisance parameter that takes on \nvalues in the unit interval. I show analytically, using \nasymptotic power functions based on near-cointegrated alternatives, \nthat the ECM <jats:italic>t<\/jats:italic>-test with a prespecified cointegrating \nvector can have much higher power than single equation \ntests for cointegration based on estimating the cointegrating \nvector. I also characterize situations in which the ECM \n<jats:italic>t<\/jats:italic>-test computed with a misspecified cointegrating \nvector will have high power.<\/jats:p>","DOI":"10.1017\/s0266466600163054","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T09:45:46Z","timestamp":1027763146000},"page":"407-439","source":"Crossref","is-referenced-by-count":46,"title":["THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN \nTHE COINTEGRATING VECTOR IS PRESPECIFIED"],"prefix":"10.1017","volume":"16","author":[{"given":"Eric","family":"Zivot","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2000,6,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600163054","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,11]],"date-time":"2019-04-11T15:59:51Z","timestamp":1554998391000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600163054\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,6]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2000,6]]}},"alternative-id":["S0266466600163054"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600163054","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2000,6]]}}}