Hi,
I am having trouble figuring out what lag length to use when using Johansen to test for cointegration.
I have found using the VAR lag length criteria selection that the optimal lag length is 1. For Johansen I then minus 1 (as VAR estimation is in levels, whilst as johansen is calculated in differences), is this correct? If so I type 0 0 into the lag length when carrying out Johansen?
If I find no cointegration, I calculate granger causality using a differenced VAR framework, however if I find evidence of cointegration then I use a VECM framework, is this correct?. When I then estimate a VECM, are the lag lengths then also 0 0?. This is where I run into difficulties as the existance of no lags removes all coefficients, and also means that I cannot test for granger causality. Is this correct?, if so is there a way to test for granger causality (or short run causality).
Any help is greatly appreciated,
Many Thanks
fb
Lag lengths in Johansen, VECM and granger causality
Moderators: EViews Gareth, EViews Moderator
Re: Lag lengths in Johansen, VECM and granger causality
HI)) DOES EVIEWS SOFTWARE CAN SUPPORT TO IDENTIFY OPTIMAL LAG LENGTH? THANKS IN ADVANCE
Return to “Econometric Discussions”
Who is online
Users browsing this forum: No registered users and 2 guests
