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Cointegration.. what's next?

Posted: Wed Aug 19, 2009 12:54 pm
by sljw
Hi everyone,

I've just done a Larsson et. al cointegration test on my panel data.

With
y= I(1)
x1= I(0)
x2= I(1)
x3= I(0)
x4= I(1)
x5= I(2)

I have found from the test that there are at least 5 cointegration equations in my data.

Is this enough to move on to a fixed and random estimation of the model? Are there any other steps I need to take after finding these results?

Thanks!