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- Fri Jan 03, 2014 4:03 pm
- Forum: Econometric Discussions
- Topic: Identifying 'which' variables are cointegrated in CVAR
- Replies: 0
- Views: 1729
Identifying 'which' variables are cointegrated in CVAR
Happy New Year everyone! I have have a quick question RE the Johansen procedure. I have 5 variable VARs for several countries with cointegration (1/2 relationships) identified in each. This may be a silly question but is there are a formal procedure for identifying which variables in the system coin...