Interpretation johanson test

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Interpretation johanson test

Postby Ydwolf » Tue Apr 03, 2012 9:25 am


I want to see whether different price series from different financial markets have an influence on each other without calculating the returns.
f.e. eurostoxx = alpha + beta. px + errorterm
However, price series are non-stationary processes, and I learnt in class you can only conduct regressions with these kind of series if these are co-integrated.
Therefore I wanted to use either the johansen cointegration test or the engle-granger approach, but I am facing difficulties in choosing the specifications of the test and interpreting it aftwerwards.

Would you mind looking at my workfile? It probably will be very simple for you guys.
I'm afraid the two series won't be co-integrated however..

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