cointegration test
Posted: Sat Aug 23, 2014 4:03 am
Hi
I have some question about this:
1. When I done co-integration test with Engel-Grenger equation (ols model) between two variables, I saw auto-correlation in residual.
In next step: Is it necessary to eliminate auto-correlation of residual for unit root test????
2.how can I deiced my series is TSP or DSP in Eviews software????
thanks.
I have some question about this:
1. When I done co-integration test with Engel-Grenger equation (ols model) between two variables, I saw auto-correlation in residual.
In next step: Is it necessary to eliminate auto-correlation of residual for unit root test????
2.how can I deiced my series is TSP or DSP in Eviews software????
thanks.