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Assumption for Johansen Cointegration Test
Posted: Sun Aug 07, 2011 10:03 am
by abdullah_alam
If two series are integrated of the order I(0), means there is no unit root or that they are stationary at level; can we perform Johansen Co-integration Test for them?
Re: Assumption for Johansen Cointegration Test
Posted: Sun Aug 07, 2011 10:17 am
by startz
No.
Re: Assumption for Johansen Cointegration Test
Posted: Sun Aug 07, 2011 10:40 am
by abdullah_alam
Does this mean that we can not check Granger causality between the two variables, if they are both of the order I(0)?