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It has been said that for estimating the co-integrating relationship, all the time series variables in the model should be integrated of order one I(1). I have performed the unit root test to check for the integration order. I found that all of the variables are stationary at 1st difference except o...

I have used 1 2 pairs of lag to estimate the VAR models and then tested for the lag length criteria. According to LR criteria the appropriate lag length is 6. I used this as lag length and ran the Johansen cointegration test from the quick menu. I did not use any exogenous variable and the following...