Hello all. i have annual data from 1980 to 2015 which means 36 observation.
i already run the lag selection criteria and it show the appropriate lag is 5, but when i try to run the Johansen Cointegration Test with lag 5 it show Near Singular Matrix. anyone can help me with this?
Thank You in Advance
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- Sun Jan 29, 2017 7:39 pm
- Forum: Estimation
- Topic: Lag Selection and Johansen Cointegration Test
- Replies: 1
- Views: 4245