Panel data cointegration

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Miroupo
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Joined: Tue Apr 11, 2017 10:18 am

Panel data cointegration

Postby Miroupo » Wed Apr 12, 2017 8:46 am

Hi,

I am estimating causality between 4 variables in panel data and part of the process includes testing for cointegration. When I test for Johansen-Fisher cointegration through Quick>Group Statistics>Johansen Cointegration Test, I get different results from when I set-up a VAR with my 4 variables and then go to View>Cointegration test.

Is there a reason for which this is happening and if so, which output should I follow?

I am using EviewS 9. The two different outputs are attached.

Thank you for your help.
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Group stat coint vs VAR coint.docx
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EViews Gareth
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Re: Panel data cointegration

Postby EViews Gareth » Wed Apr 12, 2017 9:04 am

The VAR/VEC estimator and corresponding test is doing nothing panel related, whereas the group cointegration test is doing the panel version of the tests.
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Miroupo
Posts: 5
Joined: Tue Apr 11, 2017 10:18 am

Re: Panel data cointegration

Postby Miroupo » Wed Apr 12, 2017 9:14 am

Therefore, I should follow the Group Statistics cointegration test.

Thank you for your reply!!!
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