How do I find coefficients/equations from cointegration test
Posted: Mon Apr 21, 2014 12:57 pm
When I run the Johansen Cointegration test where can I see the true coefficients for each variable? The coefficients I see now don't make sense (i.e. are negative when the relationship is clearly positive, and in a normal regression the coefficients are positive). I've determined the two series are cointegrated, and now where can I see what the true coefficients (alpha and beta) are in the cointegration output?
Thanks.
Thanks.