Search found 1 match
- Fri Jan 07, 2011 1:21 pm
- Forum: Estimation
- Topic: Lag length for johansen cointegration test
- Replies: 0
- Views: 2309
Lag length for johansen cointegration test
Hello, I'm attempting to use the johansen cointergation test in Eviews and wanted to be sure I'm setting the lag interval right. I ran a VAR in levels to find the optimum lag. Using both Hannan-Quinn and Schwarz criterion I get 1 lag in levels. http://img812.imageshack.us/img812/5210/lagsk.jpg So in...