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Assume that we run the Johansen cointegration test for three series that are I(1) (e.g. series: x, y and z). How can one interpret (visualize) number of common trends. Let’s assume the following scenarios of the test results. a) The test shows 2 cointegrating vectors => 1 common trend. Interpret(vis...

Hello, I run a few Johansen cointegration test on made series (data were generated in MATLAB) . I am trying to interpret the meaning of a number of cointegrating vectors and a number of common trends. These are my tests. We have three series x(t), y(t) and z(t) 1) Scenario 1 (make y follow x and z w...

Hello,

What is the difference between setting lag intervals in Johansen test as "0 1" vs "1 1"?

Thank you.

Hello, I have a question regarding a set up of the Johansen cointegration test in Eviews. The process I am planning to follow is below. Could you kindly correct me if anything is wrong. 1) I have three REAL price series that I would like to test for cointegration in EViews 9. Please see the file att...

Hello Gareth,

Thank you very much for your feedback. It is very helpful.

Yes my code is redundant though it produced the same result. It was my first Eviews code. I realized now your yesterday's post.

Regards,

Argyn

Richard Gareth, I think I got what I tried to do. Please correct me if anything is not correctly described in my post. Richard Gareth thank you for your comments. Below I descibe the issue, post my code and the output snapshots ( I cannot post images so I pasted them in a different form): The issue:...

Yes I am still trying to find a way.

If that is not doable then how can I run multiple tests on sub-samples of the original sample (I need to run Johansen) .

Richard and Gareth, I got your point that you cannot change series but can select specific observations. How then I can tweak my code to select specific observations. I thought smpl 1961 !1 will do that. 'create recursive groups for !i=2013 to 2014 group can_x_us_x{!i} 'create groups smpl 1961 !i 'u...

Ok. How then select a series with a size that is smaller than the sample size.

Say my series is X from 1961 to 2014. I would like to have it only from 1961 to 2010. I tried X(1961, 2010) X(1961 2010) but it did not work.

Startz what you posted applies to a regression. You restrict the sample size to what you want. It is correct. I am trying to do a slightly different thing . I want to create groups with different sample sizes. I thought smpl date1 to date2 in the piece of code below would do that but it did not work...

Gareth as you said "Typically in EViews you would set the sample to be the observations you are interested in, then do your analysis.". Ho w can I do that in a piece of my code.

But you can run a regression on smaller size than your sample. In the same way I assume there should be a way to specify groups on sub-samples. (Eventually I try to run Johansen cointegration tests on those sub-sample groups)

Yes I see that all groups created by the code are of the same size.

I am trying to create say group can_x_us_x2010 that contains two original series in the range 1961-2010 etc (original series are from 1961 to 2014)

Hello, Could you help to restrict the series that I add to a series of groups I create? I am trying to create groups (can_x_us_x{!i}) from two series (can_x and us_x) with the same start date (1961) and different end dates (2010 tp 2014). It seems that sample command does not do that. 'create recurs...

Thank you. Just made a small prg and tested to run it from Excel VBA.