Cointegration test

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econometricz
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Joined: Mon Jun 28, 2010 7:52 pm

Cointegration test

Postby econometricz » Tue Jun 29, 2010 12:00 am

I have 8 series. I have to test for unit root for each of the series. As I understand, I need to estimate ADF with three specifications - none, intercept and trend & intercept. If some of my series are with intercept and some with trend, would it effect my cointegration tests? I would really appreciate if anyone of you could explain how to do cointegration test.

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