Lag Length in Johansen Cointegration Test

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

Sal
Posts: 5
Joined: Fri Dec 02, 2011 10:08 am

Lag Length in Johansen Cointegration Test

Postby Sal » Fri Dec 02, 2011 10:28 am

Suppose that I tested for cointegration between two series that have structural breaks without considering the breaks and determined the number of lags to be, for example 5. When considering the breaks (as exogenous variables), do I have to go back and determine the number of lags? In other words, would including the breaks affect the number of lags, or I should be using the same number of lags as in the case without breaks, that is 5.

Thanks

Sal

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 2 guests