Two Cointegration Equations and No Cointegration Equations

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jmagomez
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Two Cointegration Equations and No Cointegration Equations

Postby jmagomez » Fri Jan 25, 2019 6:32 am

Dear Fellows,

I am developing a model with 3 variables and I had a doubt:

I am working with two periods and obtained these results for Cointegration Rank Test:

- Trace test indicates 1 cointegrating eqn(s) at the 0.05 level

- Max-eigenvalue test indicates 2 cointegration eqn(s) at the 0.05 level

What is the meaning of two cointegration equations?

And with 3 variables, do I need two cointegration equations or just one cointegration equation?

Best Regards, José.

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