Data Used for cointegration test
Posted: Sun Mar 21, 2010 9:18 pm
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
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