Lag length for johansen cointegration test
Posted: Fri Jan 07, 2011 1:21 pm
Hello,
I'm attempting to use the johansen cointergation test in Eviews and wanted to be sure I'm setting the lag interval right. I ran a VAR in levels to find the optimum lag. Using both Hannan-Quinn and Schwarz criterion I get 1 lag in levels.
So in short my question is this, would this be entered as 0 0 in the lag intervals as shown below?
Thanks for your help and time.
I'm attempting to use the johansen cointergation test in Eviews and wanted to be sure I'm setting the lag interval right. I ran a VAR in levels to find the optimum lag. Using both Hannan-Quinn and Schwarz criterion I get 1 lag in levels.
So in short my question is this, would this be entered as 0 0 in the lag intervals as shown below?
Thanks for your help and time.