Cointegrated but a not statistically significant error ter in VECM.

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khkboss
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Joined: Thu Jan 07, 2016 10:41 pm

Cointegrated but a not statistically significant error ter in VECM.

Postby khkboss » Fri Feb 02, 2018 12:03 am

Hello there,

All of my variables are I(1) and Johansen test says that my multivariate model has one cointegration. However, my VECM is not statistically significant nor has a right sign. What should I do next? Should I do general to specific approach or VAR with first difference?

Thank you for consideration.

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