st: Structure test after Johansen's cointegration test

["Mao Fan" <maomao_are@hotmail.com>]

Dear Stata users,

       I hope you are doing well all the time!

       I am writing a term paper about efficiency of futures market.  
However, I am not sure if I could resort to stata to do my econometric 
models.  My goal is to test parameter hypotheses after Johansen's 
cointegration test.

For example, I have two time series:
spot price: St
forward price: Ft
The cointegration regression is like:
St = a+b*Ft+et

The efficiency of futures market requires that
b = 1 and a is some constant (maybe storage cost) such that
et = St - bFt - a is stationary.

My questions are:
(1) How to estimate a and b in Stata using Johansen cointegration test?
(2) How to test if (a,b) = (0,1) after Johansen cointegration test?

Thank you very much for your time!

Mao

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