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Alpha and Beta in Johansen cointegration
Posted: Thu Jul 30, 2009 6:48 am
by Krishna Reddy Ch
1) how to interpret alpha and beta coefficients (adjustment coefficient and cointegrating coefficient) of the Johansen method?
2) Where can one find these coefficient in the EViews result sheets?
3) if more than one co intgration vector shows in the results. which variables are cointegration , which are not cointgation vector how to find out in Johanson test
Re: Alpha and Beta in Johansen cointegration
Posted: Mon Aug 10, 2009 10:29 am
by upendar
I HAVE TWO VARIABLES Y AND X
Y IS [1] AND X IS [0]
SHALL I USE JOHANSEN COINTEGRATION
THAT IS THE ORDER OF INTEGRATION OF THE VARIABLES REQUIRED TO BE THE SAME FOR JOHANSEN COINTEGRATION
M UPENDER
Re: Alpha and Beta in Johansen cointegration
Posted: Mon Aug 10, 2009 10:30 am
by upendar
I HAVE THE FOLLOWING SERIES
Y[1] Y1[1] AND X[0]
SHALL I USE JOHANSEN COINTEGRATION
Re: Alpha and Beta in Johansen cointegration
Posted: Mon Aug 10, 2009 10:37 am
by upendar
1) how to interpret alpha and beta coefficients (adjustment coefficient and cointegrating coefficient) of the Johansen method?
2) Where can one find these coefficient in the EViews result sheets?
3) if more than one co intgration vector shows in the results. which variables are cointegration , which are not cointgation vector how to find out in Johanson test
Re: Alpha and Beta in Johansen cointegration
Posted: Mon Aug 10, 2009 10:39 am
by upendar
IF THERE ARE TWO COINTEGRATING RELATIONS [Y1=F[ Y2 Y3 Y4]
HOW DO WE TRACE THESE RELATIONS BETWEEN OR AMONG THE VARIABLES