cointegration test
Posted: Fri Jul 15, 2011 4:27 am
Hello
I did cointegration test on my variables and got the results as
Normalized cointegrating coefficients (standard error in parentheses)
SPEED SUB @TREND(2)
1.000000 0.000914 -0.023365
(0.00063) (0.00193)
It means that speed = a - .000914 Sub +.023365 trend.
I am not able to differentiate between "Normalized cointegrating coefficients" and "standardized coefficients (which we get while doing regression)" ?
because when i perform regression i am not getting the same values of coefficents which i got in cointegration test.
Please help and guide me for this query
I did cointegration test on my variables and got the results as
Normalized cointegrating coefficients (standard error in parentheses)
SPEED SUB @TREND(2)
1.000000 0.000914 -0.023365
(0.00063) (0.00193)
It means that speed = a - .000914 Sub +.023365 trend.
I am not able to differentiate between "Normalized cointegrating coefficients" and "standardized coefficients (which we get while doing regression)" ?
because when i perform regression i am not getting the same values of coefficents which i got in cointegration test.
Please help and guide me for this query