johansen test for cointegration

[lucloy]

Hi everybody,
i am trying to test the cointegration between 15 series with the johansen test but eviews said "Warning: Rank test critical values not available for more than 12 endogenous series"..
how could i implement the johansen test with 15 series or more?
thank you.

[ermutuxia]

do all of the series you want to make cointegreation test have the same integreation order?

[hetero]

Hello ermutuxia,

I don’t know if you are familiar with cointegration analysis within the Johansen framework but how do we proceed in the case where there is a mix of I(0) and I(1) variables?

Regards

[Riaz]

Don't they all have to integrated of the same order to have cointegration? I think so.

[hetero]

Hello,

You can proceed to cointegration even if there is a mix of I(0) and I(1) variables! Each stationary variable will reveal itself as a cointegrating vector.

Regads