Cointegration test
Posted: Tue Jun 29, 2010 12:00 am
I have 8 series. I have to test for unit root for each of the series. As I understand, I need to estimate ADF with three specifications - none, intercept and trend & intercept. If some of my series are with intercept and some with trend, would it effect my cointegration tests? I would really appreciate if anyone of you could explain how to do cointegration test.