Johanssen Cointegration Test Problem

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diego_domene
Posts: 1
Joined: Thu Dec 01, 2011 6:53 pm

Johanssen Cointegration Test Problem

Postby diego_domene » Thu Dec 01, 2011 7:11 pm

Hello!

I'm trying to run a Johanssen Cointegration test on Eviews 5 using 15 variables of the exchange rate. When I run it with 15 the test does not work, and when I run it with 12 it does. Am I doing something Wrong or does Eviews 5 have a limitation for the input of variables?

Thanks for the help!

Diego

EViews Glenn
EViews Developer
Posts: 2548
Joined: Wed Oct 15, 2008 9:17 am

Re: Johanssen Cointegration Test Problem

Postby EViews Glenn » Fri Dec 02, 2011 10:42 am

In principle, there is no limit, though you are going to run into sample size problems as you add lots of variables...

What error message do you get?


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