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- Sun Jul 07, 2013 3:16 pm
- Forum: Econometric Discussions
- Topic: Johansen cointegration tests and Granger Causality on VECM
- Replies: 0
- Views: 1979
Johansen cointegration tests and Granger Causality on VECM
Hi all ! I am undertaking Johansen Cointegration tests in four variables pair-wise (2 variables in each test). For those that I detect cointegration relationships I have the following questions: 1) How do I form the VECM through a Johansen estimation window (I did Proc-VECM-fullfilled the number of ...