Johansen Cointergration Test and Residuals

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

PERRYGOGAS
Posts: 36
Joined: Sat Nov 01, 2008 12:22 pm

Johansen Cointergration Test and Residuals

Postby PERRYGOGAS » Mon Sep 27, 2010 11:28 am

How can I obtain the residuals from the standard Johansen cointegration test?
I want to experiment with different lag lengths so that the residuals are normal and not serially correlated.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: Johansen Cointergration Test and Residuals

Postby EViews Gareth » Mon Sep 27, 2010 1:22 pm

You could make a VAR with the same co-integrating relationship as that given by the co-integration test. Then from the VAR you can make the residuals.

PERRYGOGAS
Posts: 36
Joined: Sat Nov 01, 2008 12:22 pm

Re: Johansen Cointergration Test and Residuals

Postby PERRYGOGAS » Mon Sep 27, 2010 1:37 pm

You could make a VAR with the same co-integrating relationship as that given by the co-integration test. Then from the VAR you can make the residuals.
Great! I was just trying to do this. Just to be 100% sure: the residuals I get from the VAR are the same as the Johansen cointegration residuals?

And something last: To get the residuals from the Johansen cointegration test including lags 1 to 3 for example, I must estimate the VAR with
1 to 4 lags and get those?

Thank you very much!!!


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 1 guest