Johanssen cointegration test
Posted: Mon Nov 27, 2017 10:02 am
Hey everyone,
I am writing my thesis with a little econometric background and my subject is requires empirical analysis. My data consists of 94 variables from 2010Y01M to 2017Y10M. There are 6 independent and 1 dependent variables. All the values of variables except the interest rate are utilised in ln form.
I applied the ADF unit root tests and KPSS unit root tests on the dataset. All variables are integrated of order 1; except interest rates - that is I(0). The Durbin Watson results are also close to 2.0.
I would like to do the following tests:
- Johansen cointegration,
- Granger Causality,
- VECM ve Impulse response
Will I be able to run the test for I(0) and I(1) variables at the same time? If not what methodology will I use to test whether there is a baloon in the prices?
Thanks for the help and good night!
I am writing my thesis with a little econometric background and my subject is requires empirical analysis. My data consists of 94 variables from 2010Y01M to 2017Y10M. There are 6 independent and 1 dependent variables. All the values of variables except the interest rate are utilised in ln form.
I applied the ADF unit root tests and KPSS unit root tests on the dataset. All variables are integrated of order 1; except interest rates - that is I(0). The Durbin Watson results are also close to 2.0.
I would like to do the following tests:
- Johansen cointegration,
- Granger Causality,
- VECM ve Impulse response
Will I be able to run the test for I(0) and I(1) variables at the same time? If not what methodology will I use to test whether there is a baloon in the prices?
Thanks for the help and good night!