How do I find coefficients/equations from cointegration test

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kjd31
Posts: 17
Joined: Thu Jul 25, 2013 9:26 am

How do I find coefficients/equations from cointegration test

Postby kjd31 » Mon Apr 21, 2014 12:57 pm

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?

Thanks.

kjd31
Posts: 17
Joined: Thu Jul 25, 2013 9:26 am

Re: How do I find coefficients/equations from cointegration

Postby kjd31 » Tue Apr 22, 2014 8:24 am

bump?

EViews Glenn
EViews Developer
Posts: 2615
Joined: Wed Oct 15, 2008 9:17 am

Re: How do I find coefficients/equations from cointegration

Postby EViews Glenn » Tue Apr 22, 2014 10:58 am

Make a VAR object from the group and estimate a VEC.


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