cointegration test for time series at time t and t+1

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

cointegration test for time series at time t and t+1

Postby qn3 » Wed Aug 29, 2012 10:24 pm

Hi all,
I am currently doing Johansen's conintegration test, suppose sample period is 2000/10/10 to 2010/10/10 for both variable x and y.
I need to test both the cointegration for same-day data " x(t) and y (t)" , and cointegration for different-day data "x(t+1) and y(t)", i know for the first, just follow default setting, but what about the second one---- x(t+1) and y (t)
how do i change the setting of var specification or cointegrating specification, do i need to add one more data for variable x in eview ? LOL.. I use a version 7.1 eview thx!!

EViews Gareth
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Re: cointegration test for time series at time t and t+1

Postby EViews Gareth » Thu Aug 30, 2012 7:45 am

Use X(1) as a variable, rather than X.
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