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Is it possible for series to be found cointegrated during a period but not cointegrated in the sub-periods?

Hey, users!

I have a question regarding the data to use to Granger causality and Johansen cointegration test. Can I use the exact same data for both tests, since one requires stationarity and the other non-stationary?

Sahara

I have a question about lag length and the different criteria available i.e.: AIC and SIC. I have a serie with 3441 observations after adjustments and the lag length is 29. It seems a big high to me, because other researches with more data give 6 length lag. How can I know for sure which lag length ...

Thank you for the tip!

Will the results for granger and johansen be different if I use the 1st difference level? If so, which one do you advice to use, the 1st difference or the levels?

In order to be more clear regarding my question about saving the 1st differencing series. Can I do the command GENR "dGER = d(GER) ", " dES = s(ES) " and then use this new series to conduct my research on Johansen and Granger tests? Or do I use the previous series GER and ES? Thi...

I need to perform a johansen cointegration test. Therefore, I need to test for the unit root of series of Bonds. I have performed the ADF and all 6 series are considered to be non-stationary. However, when I perform at 1st difference, it seems to be stationary. My question is: I am able to use this ...

I would like to know how to know that my data is good or ready to be used on a research. If I have an excel file with all the data and plot it on eviews, is it good to be used? Is there a way to be sure before continuing with my research?

Thank you for your time!

Dear all, I have some doubts about..well..lots of things, but at the moment, it is linked to unit root. I have to test the cointegration of 6 series, however, before that, I have to check the unit root. I am not sure about how to test the unit root of all these series, should I test it individually ...

Hey, guys! I have some doubts about my results. Can I say that I found cointegration among the series? Thanks ;) Included observations: 3300 after adjustments Trend assumption: Linear deterministic trend Series: ES GER GR IR IT PT Lags interval (in first differences): 1 to 4 Unrestricted Cointegrati...

Hey, everyone! I am new in this forum, I have been reading for a awhile and a few questions/answers are helpful, therefore I decided to register and maybe you can help me this time. I am currently doing a research (or trying) on cointegration and spillovers. I am thinking of using the Dufour et al. ...