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johansen test for cointegration
Posted: Fri Sep 25, 2009 7:38 am
by lucloy
Hi everybody,
i am trying to test the cointegration between 15 series with the johansen test but eviews said "Warning: Rank test critical values not available for more than 12 endogenous series"..
how could i implement the johansen test with 15 series or more?
thank you.
Re: johansen test for cointegration
Posted: Wed Nov 04, 2009 7:38 pm
by ermutuxia
do all of the series you want to make cointegreation test have the same integreation order?
Re: johansen test for cointegration
Posted: Thu Nov 05, 2009 11:42 am
by hetero
Hello ermutuxia,
I don’t know if you are familiar with cointegration analysis within the Johansen framework but how do we proceed in the case where there is a mix of I(0) and I(1) variables?
Regards
Re: johansen test for cointegration
Posted: Mon Nov 09, 2009 1:54 am
by Riaz
Don't they all have to integrated of the same order to have cointegration? I think so.
Re: johansen test for cointegration
Posted: Mon Nov 09, 2009 6:16 am
by hetero
Hello,
You can proceed to cointegration even if there is a mix of I(0) and I(1) variables! Each stationary variable will reveal itself as a cointegrating vector.
Regads