Two cointegration equation result for only a pair of data???

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DanielArmani
Posts: 12
Joined: Wed Apr 13, 2011 4:08 am

Two cointegration equation result for only a pair of data???

Postby DanielArmani » Tue Jan 31, 2012 8:28 am

Hi,
I am trying to do cointegration test beween two time series.

I get the following result;

Trace test indicates 2 cointegrating eqn(s) at the 0.05 level

As I have only two time series I expected te have only ONE cointegrating equation, but the test results in TWO, I wonder what that means? Are my time series cointegrated or NOT?

I have to mention that before there was only one cointegrating equation, as I have added more data after a while the result shows Two eqation. I am 100% sure that the data is correct.

Regards
Daniel

qn3
Posts: 11
Joined: Thu Aug 23, 2012 12:26 am

Re: Two cointegration equation result for only a pair of dat

Postby qn3 » Wed Oct 03, 2012 11:51 pm

I have the same problem, two series.. two cointegrating relations, why nobody can answer this question........


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