What cointegration test do I use?

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kristifun
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Joined: Fri May 26, 2017 3:27 am

What cointegration test do I use?

Postby kristifun » Fri May 26, 2017 7:42 am

Hello. I am actually working on a paper about the relationship of international trade and economic growth in my country, Albania. I am new to using econometric models and I checked some previous studies about other countries. Generally, to test the relationship of exports, imports and GDP were used ADF test, cointegration test and Granger Causality test. My data is from 1993 to 2016. I did the ADF test and all three series are stationary when differenced(first order, lag 0). Now I guess I have to do a cointegration test to check if the variables are related in a long run relationship. My question is: Do I have to do the Johansen test or some other one? I would be glad for any other suggestion regading this study.

P.S: Are these three tests enough to draw a conclusion for my study? Do I need to employ any other test/tests?

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