[Question/Eviews 6]Johansen Cointegration Test Lag intervals

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sunbright
Posts: 1
Joined: Thu May 16, 2013 10:20 am

[Question/Eviews 6]Johansen Cointegration Test Lag intervals

Postby sunbright » Thu May 16, 2013 10:34 am

Dear forum,

Wondering if anyone can help about this specific part in the Eviews 6 User's Guide II:
"You should specify the lags of the test VAR as pairs of intervals. Note that the lags are specified
as lags of the first differenced terms used in the auxiliary regression, not in terms of the
levels. For example, if you type “1 2” in the edit field, the test VAR regresses on
, , and any other exogenous variables that you have specified. "
Can someone help enlighten me on this?

also:
"Note that in terms of the level series the largest lag is 3. To run a cointegration test with one lag in the
level series, type “0 0” in the edit field."
I am entering the variables to be tested in levels... Should I put [0 X] to test in levels?

Warm regards, :)

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