how to interpret panel cointegration results

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

machi
Posts: 3
Joined: Mon May 16, 2011 12:51 am

how to interpret panel cointegration results

Postby machi » Mon May 16, 2011 1:21 am

hello, im am trying to ascertain the direction of causal relationship between energy consumption and real gdp, according to literature, i have to first do panel unit root tests, cointegration tests, and finally the granger causality tests... my data is panel and i intend to use VECM

For the panel unit root test, i used the IPS test and confirmed that the variables are i(1) so then i went on to the cointegration tests.

For the panel cointegration test, i used the pedroni panel cointegration test, and i am having some difficulty on the interpretation of the seven tests statistics as the results are not consistent. other literature say that panel and group ADF are most robust, can i just concentrate on those two statistics?
I would also like to ask if I should use the same deterministic trend in the IPS, Pedroni tests, and construction of VEC. Also, the results differ when the order of variables opened as a group varies, how should i address this? And from the cointegration test (given that the variables are cointegrated), i construct a VEC, i have to enter the number of lags, can i enter any values to this or should i look at the max lag from the cointegration test (chosen using AIC). Also, what should i enter in the (rank) number of cointegrating, since that is not given in the pedroni cointegration results?

I am sorry for my very basic questions :oops: ... I hope to hear from you guys, thanks very much in advance! :D
i am using eviews7

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 2 guests