Johansen Fisher Panel Cointegration Test and ts coefficients
Posted: Sat Apr 26, 2014 5:09 am
Hi everyone,
I am currently working on my master thesis and did my former analysis with Stata. Unfortunately, Stata does not offer Johansen Fisher Panel Cointegration tests, thats why I switched to Eviews for the last part of my analysis.
So I have two issues where maybe someone of you can offer some tipps.
1) I try to identify the relation between a sentiment index I built and a market index. Both time series are I(1) and its residuals are I(0). Now, I would like to calculate an R² from that to describe how much this relationship can explain. Is there a possiblity to calculate R² using EViews? For example, is it possible to retrieve the residuals from the Johansen Cointegration equation?
2) I also want to apply my sentiment in an panel analysis. When I use Johansen Fisher Panel Cointegration I see that most of the cross sections are cointegrated with my sentiment, but I can not get the rest of the output like the coefficients, z-statistics etc. Does Eviews provide this data in some way?
Thank you very much for you help. I am really not an expert in statistical analysis and my prof is on a business tripp, so any tipp is much appreciated.
Best
Micha
I am currently working on my master thesis and did my former analysis with Stata. Unfortunately, Stata does not offer Johansen Fisher Panel Cointegration tests, thats why I switched to Eviews for the last part of my analysis.
So I have two issues where maybe someone of you can offer some tipps.
1) I try to identify the relation between a sentiment index I built and a market index. Both time series are I(1) and its residuals are I(0). Now, I would like to calculate an R² from that to describe how much this relationship can explain. Is there a possiblity to calculate R² using EViews? For example, is it possible to retrieve the residuals from the Johansen Cointegration equation?
2) I also want to apply my sentiment in an panel analysis. When I use Johansen Fisher Panel Cointegration I see that most of the cross sections are cointegrated with my sentiment, but I can not get the rest of the output like the coefficients, z-statistics etc. Does Eviews provide this data in some way?
Thank you very much for you help. I am really not an expert in statistical analysis and my prof is on a business tripp, so any tipp is much appreciated.
Best
Micha