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Data Used for cointegration test

Posted: Sun Mar 21, 2010 9:18 pm
by moojf
Hi

I am Trying to test for cointegration using both Johansen and Engle granger cointegration tests. 2 varibles.

If I am using variables that are itegrated in 1st level.

Do I use the 1st difference series or the oreginal series to test for cointegration in both methods?

Thanks for your ooperations in advance.
Regards

Re: Data Used for cointegration test

Posted: Mon Mar 22, 2010 5:02 am
by random_access
u have to use the variable in their levels not in the first difference.

Re: Data Used for cointegration test

Posted: Mon Mar 22, 2010 3:26 pm
by moojf
Thanks Random

Re: Data Used for cointegration test

Posted: Fri May 07, 2010 12:57 am
by moojf
Thanks again
But how I decide the cointegration lag lenth?