Max lag length for EG and Johansen test and result analysis?

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kstanza
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Joined: Tue Mar 13, 2012 7:54 am

Max lag length for EG and Johansen test and result analysis?

Postby kstanza » Fri Mar 16, 2012 7:46 am

I have 2 sets of data, both with the same number of observations. Both are stationary at 1st Difference.

I would liek to know how to work out the max lag to input when performing the EG and Johansen cointegration tests.

and as a side note (as i have never actually been taughr econometrics, but am supposed to do a project on it) what are the significant results in the output data, as there is alot of data given back and im not sure if i need to anaylyse all of it or not.
What do i need to reject the null hypothosis or accept it?

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