Assumption for Johansen Cointegration Test

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abdullah_alam
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Joined: Sun Aug 07, 2011 9:53 am

Assumption for Johansen Cointegration Test

Postby abdullah_alam » Sun Aug 07, 2011 10:03 am

If two series are integrated of the order I(0), means there is no unit root or that they are stationary at level; can we perform Johansen Co-integration Test for them?
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startz
Non-normality and collinearity are NOT problems!
Posts: 3796
Joined: Wed Sep 17, 2008 2:25 pm

Re: Assumption for Johansen Cointegration Test

Postby startz » Sun Aug 07, 2011 10:17 am

No.
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abdullah_alam
Posts: 6
Joined: Sun Aug 07, 2011 9:53 am

Re: Assumption for Johansen Cointegration Test

Postby abdullah_alam » Sun Aug 07, 2011 10:40 am

Does this mean that we can not check Granger causality between the two variables, if they are both of the order I(0)?
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