Lag lenght input in cointegration

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ivona19832003
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Joined: Tue Aug 25, 2009 12:16 pm

Lag lenght input in cointegration

Postby ivona19832003 » Tue Aug 25, 2009 12:41 pm

My data is nonstationary. The optimal lag lenght for first differences was 0. How to put it into Johansen cointegration test in levels? 0 0?
When I wrote it like that there was no cointegration. However in the VAR for first differences the F-stat was N/A

In different excersise my data was also non stationary and lag lenght was 4. I wrote it in cointegration test as 1 4, is that correct?

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