Dear Cahya,
If still relevant: I guess that your variables are cointegrated in the long run but the relationship is insignificant in the short run.
Search found 2 matches
- Sun Sep 04, 2011 12:31 pm
- Forum: Econometric Discussions
- Topic: Engle and Granger Cointegration Test
- Replies: 4
- Views: 18188
- Sun Sep 04, 2011 10:41 am
- Forum: Econometric Discussions
- Topic: Engle Granger cointegration test
- Replies: 0
- Views: 2377
Engle Granger cointegration test
Hi, there! I want to analyze two series of returns on stock indices and to employ the Engle Granger procudure for it. That is, I run the linear regression between them => save the residual => check it for stationarity. My returns are stationary, I(0) - they are not integrated I(1) Can I run the Engl...