Limit on cointegrating equations
Posted: Tue Oct 20, 2009 5:40 pm
Hi,
I have been investigating the cointegration of 6 variables, one of which is exogenous. When I run the Johansen cointegration test the trace tests both indicate 5 cointegrating equations. However the subsequent output only specifies 4 cointegrating equations.
Is there a limit (in the software) on the number of CEs it will display?
Thanks,
Andrew
I have been investigating the cointegration of 6 variables, one of which is exogenous. When I run the Johansen cointegration test the trace tests both indicate 5 cointegrating equations. However the subsequent output only specifies 4 cointegrating equations.
Is there a limit (in the software) on the number of CEs it will display?
Thanks,
Andrew