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When I run the Johansen Cointegration test where can I see the true coefficients for each variable? The coefficients I see now don't make sense (i.e. are negative when the relationship is clearly positive, and in a normal regression the coefficients are positive). I've determined the two series are cointegrated, and now where can I see what the true coefficients (alpha and beta) are in the cointegration output?
Make a VAR object from the group and estimate a VEC.
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