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- Wed Apr 15, 2020 1:56 pm
- Forum: Econometric Discussions
- Topic: Jensen cointegration test
- Replies: 0
- Views: 8076
Jensen cointegration test
How do you make the alpha matrix and beta matrix 5 × 2 when the five variables are tested for cointegration and there are only two cointegration relationships. (As shown in the figure, the test always shows the matrix is 5 × 5)