Johansen cointegration: Lags and trend assumptions
Posted: Fri Jun 11, 2010 6:14 am
Hi!
I am struggling with the parameters for conducting the cointegration analysis and I am wondering how I can determine which trend assumptions are appropriate for my sample and what lag interval is most appropriate.
If anybody has any tips on this issue, I would be very thankful!
Bye,
I am struggling with the parameters for conducting the cointegration analysis and I am wondering how I can determine which trend assumptions are appropriate for my sample and what lag interval is most appropriate.
If anybody has any tips on this issue, I would be very thankful!
Bye,