IF THERE ARE TWO COINTEGRATING RELATIONS [Y1=F[ Y2 Y3 Y4]
HOW DO WE TRACE THESE RELATIONS BETWEEN OR AMONG THE VARIABLES
Search found 5 matches
- Mon Aug 10, 2009 10:39 am
- Forum: Econometric Discussions
- Topic: Alpha and Beta in Johansen cointegration
- Replies: 4
- Views: 6973
- Mon Aug 10, 2009 10:37 am
- Forum: Econometric Discussions
- Topic: Alpha and Beta in Johansen cointegration
- Replies: 4
- Views: 6973
Re: Alpha and Beta in Johansen cointegration
1) how to interpret alpha and beta coefficients (adjustment coefficient and cointegrating coefficient) of the Johansen method? 2) Where can one find these coefficient in the EViews result sheets? 3) if more than one co intgration vector shows in the results. which variables are cointegration , whic...
- Mon Aug 10, 2009 10:34 am
- Forum: Econometric Discussions
- Topic: cointegration with different levels of stationary
- Replies: 16
- Views: 41475
Re: cointegration with different levels of stationary
I HAVE THE FOLLOWING
y is I(2), xı is (I(0) and X2 IS (1). What is the wright procedure to estimate in this case? Can anyone explain if johansen cointegration is suitably?
y is I(2), xı is (I(0) and X2 IS (1). What is the wright procedure to estimate in this case? Can anyone explain if johansen cointegration is suitably?
- Mon Aug 10, 2009 10:30 am
- Forum: Econometric Discussions
- Topic: Alpha and Beta in Johansen cointegration
- Replies: 4
- Views: 6973
Re: Alpha and Beta in Johansen cointegration
I HAVE THE FOLLOWING SERIES
Y[1] Y1[1] AND X[0]
SHALL I USE JOHANSEN COINTEGRATION
Y[1] Y1[1] AND X[0]
SHALL I USE JOHANSEN COINTEGRATION
- Mon Aug 10, 2009 10:29 am
- Forum: Econometric Discussions
- Topic: Alpha and Beta in Johansen cointegration
- Replies: 4
- Views: 6973
Re: Alpha and Beta in Johansen cointegration
I HAVE TWO VARIABLES Y AND X
Y IS [1] AND X IS [0]
SHALL I USE JOHANSEN COINTEGRATION
THAT IS THE ORDER OF INTEGRATION OF THE VARIABLES REQUIRED TO BE THE SAME FOR JOHANSEN COINTEGRATION
M UPENDER
Y IS [1] AND X IS [0]
SHALL I USE JOHANSEN COINTEGRATION
THAT IS THE ORDER OF INTEGRATION OF THE VARIABLES REQUIRED TO BE THE SAME FOR JOHANSEN COINTEGRATION
M UPENDER