Search found 2 matches
- Thu Jun 20, 2013 4:27 am
- Forum: Econometric Discussions
- Topic: Johansen test
- Replies: 0
- Views: 1737
Johansen test
A quick question, all of my variables are non-stationary and 1st diff stationary at 0.99 confidence level, but not on 0.95 or 0.90. Is it still possible to run a cointegration test by lowering the MHM value to 0.01?
- Mon Jun 10, 2013 12:02 am
- Forum: Econometric Discussions
- Topic: Johansen cointegration test
- Replies: 1
- Views: 4018
Johansen cointegration test
Dear all, I'm unfamiliar in the field of econometrics, but need the cointegration test for my thesis. So i was hoping on your help in telling me whether i'm on the right track and how to interpret my results. So i have 6 time series (998 daily data) and i need to define their effect on each other. I...