Johansen-Fisher Cointegrationm test - Cross sections results

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Dina Abdelsalam
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Joined: Fri Dec 29, 2017 1:17 pm

Johansen-Fisher Cointegrationm test - Cross sections results

Postby Dina Abdelsalam » Fri Dec 29, 2017 1:40 pm

Dear all,

I'm working on a panel data for 18 countries during the period 1960-2016. I ran Johansen-Fisher Cointegration test. According to trace statistics and Max Eigen statistics, there exists one cointegrating relationship between the variables.

However, most of the countries are dropped in the "individual cross sections results". I ended up with 4 countries out of 18 as attached in the picture below. Could anybody tell me the reason? and how I can fix this? I believe it's not related to any missing values as I've used linear interpolation for missing values.

Any advice will be highly appreciated.

Thanks in advance.

Dina
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