Problems with panel cointegration test

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Mito
Posts: 6
Joined: Fri Apr 05, 2013 7:44 am

Problems with panel cointegration test

Postby Mito » Mon Aug 19, 2013 6:52 am

I have 2 variables which are LGDP and FDI. When I run panel cointegration test (Open as a Group, View/Cointegration test/ panel cointegration test ...) I use pedroni method. When I choose FDI first( which means my series will be FDI LGDP in the result table), the results are totally different with the results I got when I choose LGDP first (series: LGDP FDI). Anyone got any ideas about why? I think when I test for cointegration, no matter what variables are selected first, I will get the same results.
Many thanks.

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Problems with panel cointegration test

Postby EViews Glenn » Mon Aug 19, 2013 10:19 am

You will not necessarily get the same results using different variables in your system as the dependent variable

http://forums.eviews.com/viewtopic.php? ... le+granger

Mito
Posts: 6
Joined: Fri Apr 05, 2013 7:44 am

Re: Problems with panel cointegration test

Postby Mito » Wed Aug 21, 2013 7:26 am

in the topic you gave me, I still confuse about the conclusions. In my data, the results say that LGDP and FDI is cointegrated but FDI and LGDP is not. It doesnt make sense at all. Could you suggest me what I should say about these results?

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Problems with panel cointegration test

Postby EViews Glenn » Mon Aug 26, 2013 8:22 am

That the results are in disagreement when you perform the test using different dependent variables.


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