Cointegration.. what's next?
Posted: Wed Aug 19, 2009 12:54 pm
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!
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!