Johansen Cointegration test

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Manj91
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Joined: Wed Aug 14, 2019 5:06 am

Johansen Cointegration test

Postby Manj91 » Wed Aug 14, 2019 8:36 am

Hi guys,

I have a question on the Johansen co-integration test. If I am correct there are 5 posible models with different degrees of freedom.
I have read the best models are 2,3 and4.
Do all of the models need to have co-integrating vecors for there to be cointegration?
For my data model 2 and 4 have co-integrating vectors but model 3 doesnt. So would I say there was co-integration or not?
very confusing.
any help is appreciated.
Thanks!

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