Alpha and Beta in Johansen cointegration

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

Krishna Reddy Ch
Posts: 4
Joined: Sun Jul 05, 2009 9:26 am

Alpha and Beta in Johansen cointegration

Postby Krishna Reddy Ch » Thu Jul 30, 2009 6:48 am

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 , which are not cointgation vector how to find out in Johanson test

upendar
Posts: 5
Joined: Thu Jul 30, 2009 6:25 am

Re: Alpha and Beta in Johansen cointegration

Postby upendar » Mon Aug 10, 2009 10:29 am

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

upendar
Posts: 5
Joined: Thu Jul 30, 2009 6:25 am

Re: Alpha and Beta in Johansen cointegration

Postby upendar » Mon Aug 10, 2009 10:30 am

I HAVE THE FOLLOWING SERIES
Y[1] Y1[1] AND X[0]
SHALL I USE JOHANSEN COINTEGRATION

upendar
Posts: 5
Joined: Thu Jul 30, 2009 6:25 am

Re: Alpha and Beta in Johansen cointegration

Postby upendar » Mon Aug 10, 2009 10:37 am

Krishna Reddy Ch wrote: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 , which are not cointgation vector how to find out in Johanson test

upendar
Posts: 5
Joined: Thu Jul 30, 2009 6:25 am

Re: Alpha and Beta in Johansen cointegration

Postby upendar » Mon Aug 10, 2009 10:39 am

IF THERE ARE TWO COINTEGRATING RELATIONS [Y1=F[ Y2 Y3 Y4]
HOW DO WE TRACE THESE RELATIONS BETWEEN OR AMONG THE VARIABLES


Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 6 guests