Two cointegration equation result for only a pair of data???
Posted: Tue Jan 31, 2012 8:28 am
Hi,
I am trying to do cointegration test beween two time series.
I get the following result;
Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
As I have only two time series I expected te have only ONE cointegrating equation, but the test results in TWO, I wonder what that means? Are my time series cointegrated or NOT?
I have to mention that before there was only one cointegrating equation, as I have added more data after a while the result shows Two eqation. I am 100% sure that the data is correct.
Regards
Daniel
I am trying to do cointegration test beween two time series.
I get the following result;
Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
As I have only two time series I expected te have only ONE cointegrating equation, but the test results in TWO, I wonder what that means? Are my time series cointegrated or NOT?
I have to mention that before there was only one cointegrating equation, as I have added more data after a while the result shows Two eqation. I am 100% sure that the data is correct.
Regards
Daniel