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- Tue Jun 02, 2015 12:40 pm
- Forum: Econometric Discussions
- Topic: VECM Johansen test difficulties
- Replies: 0
- Views: 1782
VECM Johansen test difficulties
Hello, I found a peculiar problem in doing Johansen cointegration test in VECM. I tried to replicate the model of three variables based on the following paper: http://economics.soc.uoc.gr/macro/8conf/docs/dkrusec.PDF VECM includes the sample period from 1961:1 to 2001:4 of Canadian economy. The vari...