johansen cointegration test
Posted: Fri May 29, 2015 11:00 am
hi there
i have two nonstationary variables. i want find out whether there is a cointegration relation between them or not.
i used johansen cointegration test and it says " there is no cointegration..." both by trace and eigenvalue ; but in the bottom of page it gives me a cointegrating equation.
what does this equation mean?
i have two nonstationary variables. i want find out whether there is a cointegration relation between them or not.
i used johansen cointegration test and it says " there is no cointegration..." both by trace and eigenvalue ; but in the bottom of page it gives me a cointegrating equation.
what does this equation mean?