Johansen's cointegration test
Posted: Tue Apr 27, 2010 4:22 am
Hey,
maybe it is a very simple question, but can Johansens test be done with only two time series also or is it for more than 2? I undrestand it is for searching more than 1 cointegrating relations and it is for multiple variables, but Im a bit confused if it can be done with only 2 also?
thank you
maybe it is a very simple question, but can Johansens test be done with only two time series also or is it for more than 2? I undrestand it is for searching more than 1 cointegrating relations and it is for multiple variables, but Im a bit confused if it can be done with only 2 also?
thank you