Lag lenght input in cointegration
Posted: Tue Aug 25, 2009 12:41 pm
My data is nonstationary. The optimal lag lenght for first differences was 0. How to put it into Johansen cointegration test in levels? 0 0?
When I wrote it like that there was no cointegration. However in the VAR for first differences the F-stat was N/A
In different excersise my data was also non stationary and lag lenght was 4. I wrote it in cointegration test as 1 4, is that correct?
When I wrote it like that there was no cointegration. However in the VAR for first differences the F-stat was N/A
In different excersise my data was also non stationary and lag lenght was 4. I wrote it in cointegration test as 1 4, is that correct?