Search found 2 matches
Search found 2 matches • Page 1 of 1
- Sun Feb 28, 2021 7:26 am
- Forum: Econometric Discussions
- Topic: VAR or VECM for mix variables
- Replies: 0
- Views: 418
I have 5 series, four nonstationary series and one stationary series.I tested each pair using Engle-Granger (x1,x2),(x1,x3),(x1,x4); (x2,x3) (x2, x4); (x3,x4) and found cointegration only in x2->x4, then i did johansen (x1,x2,x3,x4) and Trace test indicated 1 cointegrating eqn(s) at the 0.05 level w...