Cointegrating Regression

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Cointegrating Regression

Postby maxchen on Tue Jul 27, 2010 6:56 am

EViews 7 has Cointegrating Regression, say, the following 3 methods
1 Fully Modified OLS (Phillips andHansen 1992)
2 Canonical Cointegrating Regression (Park 1992)
3 Dynamic OLS (Saikkonen 1992, Stock and Watson 1993)

If I have 3 variables with 2 Cointegrated Equations (CEs), how to find all the 2 CEs? (I know VAR object works)

What are these 3 methods related to Johansen’s (1991, 1995) system maximum likelihood approach to cointegration analysis and testing?
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Re: Cointegrating Regression

Postby EViews Glenn on Tue Jul 27, 2010 9:49 am

The approaches of the two sets of methods are quite different.

These are single equation methods that allow for a single cointegrating vector. The Johansen methods work with the system directly and allow for multiple cointegrating vectors.
EViews Glenn
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