Johansen test
Posted: Sat Jun 18, 2011 5:34 am
I'm trying to do Johansen test for cointegration to test if PPP holds.
When estimating a VECM model, there is something called "Cointegration Restrictions" in the output.
My question is how this output should be interpreted? The chi-square value is very large and the p-value is small, which implies that the null hypothesis should be rejected. The problem is that I don't know what the null hypothesis is in this case.
Please help me understand this.
When estimating a VECM model, there is something called "Cointegration Restrictions" in the output.
My question is how this output should be interpreted? The chi-square value is very large and the p-value is small, which implies that the null hypothesis should be rejected. The problem is that I don't know what the null hypothesis is in this case.
Please help me understand this.