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Hello, because of my small sample size and different orders of integration among my 5 variables, I am using an ARDL framework to test for cointegration. Eviews 9 does a great job for this purpose! The result suggest that my variables are cointegrated and hence I proceed by estimating a VECM framewor...

Hello, how does the results of the unit root test relate to the AR root graph? To mention a specific example: Before I am estimating my VAR model, I take every endogenous variable of my VAR model and test it for stationary using the ADF test. For my model, I get the result that all variables are sta...

Hello, I have a rather general question regarding the lag length when doing the ADF Unit Root Test. I estimate a simple VAR model with 5 variables. To test for the appropriate Lag Length for the VAR model, I use the build in command "Lag Length Criteria". All tests suggest the optimal lag ...