Johanssen cointegration test

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Johanssen cointegration test

Postby 3Cem5 » Mon Nov 27, 2017 10:02 am

Hey everyone,

I am writing my thesis with a little econometric background and my subject is requires empirical analysis. My data consists of 94 variables from 2010Y01M to 2017Y10M. There are 6 independent and 1 dependent variables. All the values of variables except the interest rate are utilised in ln form.

I applied the ADF unit root tests and KPSS unit root tests on the dataset. All variables are integrated of order 1; except interest rates - that is I(0). The Durbin Watson results are also close to 2.0.

I would like to do the following tests:

- Johansen cointegration,
- Granger Causality,
- VECM ve Impulse response

Will I be able to run the test for I(0) and I(1) variables at the same time? If not what methodology will I use to test whether there is a baloon in the prices?

Thanks for the help and good night!

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