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- Tue Aug 25, 2009 12:41 pm
- Forum: Econometric Discussions
- Topic: Lag lenght input in cointegration
- Replies: 0
- Views: 2611
Lag lenght input in cointegration
My data is nonstationary. The optimal lag lenght for first differences was 0. How to put it into Johansen cointegration test in levels? 0 0? When I wrote it like that there was no cointegration. However in the VAR for first differences the F-stat was N/A In different excersise my data was also non s...