Jensen cointegration test

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daisysunf
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Joined: Thu Aug 01, 2019 4:24 am

Jensen cointegration test

Postby daisysunf » Wed Apr 15, 2020 1:56 pm

How do you make the alpha matrix and beta matrix 5 × 2 when the five variables are tested for cointegration and there are only two cointegration relationships. (As shown in the figure, the test always shows the matrix is 5 × 5)
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